Search results for: Error motion
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1919

Search results for: Error motion

1889 Relevant LMA Features for Human Motion Recognition

Authors: Insaf Ajili, Malik Mallem, Jean-Yves Didier

Abstract:

Motion recognition from videos is actually a very complex task due to the high variability of motions. This paper describes the challenges of human motion recognition, especially motion representation step with relevant features. Our descriptor vector is inspired from Laban Movement Analysis method. We propose discriminative features using the Random Forest algorithm in order to remove redundant features and make learning algorithms operate faster and more effectively. We validate our method on MSRC-12 and UTKinect datasets.

Keywords: Human motion recognition, Discriminative LMA features, random forest, features reduction.

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1888 2D Human Motion Regeneration with Stick Figure Animation Using Accelerometers

Authors: Alpha Agape Gopalai, S. M. N. Arosha Senanayake

Abstract:

This paper explores the opportunity of using tri-axial wireless accelerometers for supervised monitoring of sports movements. A motion analysis system for the upper extremities of lawn bowlers in particular is developed. Accelerometers are placed on parts of human body such as the chest to represent the shoulder movements, the back to capture the trunk motion, back of the hand, the wrist and one above the elbow, to capture arm movements. These sensors placement are carefully designed in order to avoid restricting bowler-s movements. Data is acquired from these sensors in soft-real time using virtual instrumentation; the acquired data is then conditioned and converted into required parameters for motion regeneration. A user interface was also created to facilitate in the acquisition of data, and broadcasting of commands to the wireless accelerometers. All motion regeneration in this paper deals with the motion of the human body segment in the X and Y direction, looking into the motion of the anterior/ posterior and lateral directions respectively.

Keywords: Motion Regeneration, Virtual Instrumentation, Wireless Accelerometers.

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1887 Kalman Filter Based Adaptive Reduction of Motion Artifact from Photoplethysmographic Signal

Authors: S. Seyedtabaii, L. Seyedtabaii

Abstract:

Artifact free photoplethysmographic (PPG) signals are necessary for non-invasive estimation of oxygen saturation (SpO2) in arterial blood. Movement of a patient corrupts the PPGs with motion artifacts, resulting in large errors in the computation of Sp02. This paper presents a study on using Kalman Filter in an innovative way by modeling both the Artillery Blood Pressure (ABP) and the unwanted signal, additive motion artifact, to reduce motion artifacts from corrupted PPG signals. Simulation results show acceptable performance regarding LMS and variable step LMS, thus establishing the efficacy of the proposed method.

Keywords: Kalman filter, Motion artifact, PPG, Photoplethysmography.

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1886 Topology Preservation in SOM

Authors: E. Arsuaga Uriarte, F. Díaz Martín

Abstract:

The SOM has several beneficial features which make it a useful method for data mining. One of the most important features is the ability to preserve the topology in the projection. There are several measures that can be used to quantify the goodness of the map in order to obtain the optimal projection, including the average quantization error and many topological errors. Many researches have studied how the topology preservation should be measured. One option consists of using the topographic error which considers the ratio of data vectors for which the first and second best BMUs are not adjacent. In this work we present a study of the behaviour of the topographic error in different kinds of maps. We have found that this error devaluates the rectangular maps and we have studied the reasons why this happens. Finally, we suggest a new topological error to improve the deficiency of the topographic error.

Keywords: Map lattice, Self-Organizing Map, topographic error, topology preservation.

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1885 Sensor-Based Motion Planning for a Car-like Robot Based On Bug Family Algorithms

Authors: Dong-Hyung Kim, Ji Yeong Lee, Chang-Soo Han

Abstract:

This paper presents a sensor-based motion planning algorithm for 3-DOF car-like robots with a nonholonomic constraint. Similar to the classic Bug family algorithms, the proposed algorithm enables the car-like robot to navigate in a completely unknown environment using only the range sensor information. The car-like robot uses the local range sensor view to determine the local path so that it moves towards the goal. To guarantee that the robot can approach the goal, the two modes of motion are repeated, termed motion-to-goal and wall-following. The motion-to-goal behavior lets the robot directly move toward the goal, and the wall-following behavior makes the robot circumnavigate the obstacle boundary until it meets the leaving condition. For each behavior, the nonholonomic motion for the car-like robot is planned in terms of the instantaneous turning radius. The proposed algorithm is implemented to the real robot and the experimental results show the performance of proposed algorithm.

Keywords: Motion planning, car-like robot, bug algorithm, autonomous motion planning, nonholonomic constraint.

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1884 Design of a Low Cost Motion Data Acquisition Setup for Mechatronic Systems

Authors: Barış Can Yalçın

Abstract:

Motion sensors have been commonly used as a valuable component in mechatronic systems, however, many mechatronic designs and applications that need motion sensors cost enormous amount of money, especially high-tech systems. Design of a software for communication protocol between data acquisition card and motion sensor is another issue that has to be solved. This study presents how to design a low cost motion data acquisition setup consisting of MPU 6050 motion sensor (gyro and accelerometer in 3 axes) and Arduino Mega2560 microcontroller. Design parameters are calibration of the sensor, identification and communication between sensor and data acquisition card, interpretation of data collected by the sensor.

Keywords: Calibration of sensors, data acquisition.

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1883 Design of Digital Differentiator to Optimize Relative Error

Authors: Vinita V. Sondur, Vilas B. Sondur, Narasimha H. Ayachit

Abstract:

It is observed that the Weighted least-square (WLS) technique, including the modifications, results in equiripple error curve. The resultant error as a percent of the ideal value is highly non-uniformly distributed over the range of frequencies for which the differentiator is designed. The present paper proposes a modification to the technique so that the optimization procedure results in lower maximum relative error compared to the ideal values. Simulation results for first order as well as higher order differentiators are given to illustrate the excellent performance of the proposed method.

Keywords: Differentiator, equiripple, error distribution, relative error.

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1882 Material Density Mapping on Deformable 3D Models of Human Organs

Authors: Petru Manescu, Joseph Azencot, Michael Beuve, Hamid Ladjal, Jacques Saade, Jean-Michel Morreau, Philippe Giraud, Behzad Shariat

Abstract:

Organ motion, especially respiratory motion, is a technical challenge to radiation therapy planning and dosimetry. This motion induces displacements and deformation of the organ tissues within the irradiated region which need to be taken into account when simulating dose distribution during treatment. Finite element modeling (FEM) can provide a great insight into the mechanical behavior of the organs, since they are based on the biomechanical material properties, complex geometry of organs, and anatomical boundary conditions. In this paper we present an original approach that offers the possibility to combine image-based biomechanical models with particle transport simulations. We propose a new method to map material density information issued from CT images to deformable tetrahedral meshes. Based on the principle of mass conservation our method can correlate density variation of organ tissues with geometrical deformations during the different phases of the respiratory cycle. The first results are particularly encouraging, as local error quantification of density mapping on organ geometry and density variation with organ motion are performed to evaluate and validate our approach.

Keywords: Biomechanical simulation, dose distribution, image guided radiation therapy, organ motion, tetrahedral mesh, 4D-CT.

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1881 Human Motion Regeneration in 2-Dimension as Stick Figure Animation with Accelerometers

Authors: Alpha Agape Gopalai, Darwin Gouwanda, S.M.N. Arosha Senanayake

Abstract:

This paper explores the opportunity of using tri-axial wireless accelerometers for supervised monitoring of sports movements. A motion analysis system for the upper extremities of lawn bowlers in particular is developed. Accelerometers are placed on parts of human body such as the chest to represent the shoulder movements, the back to capture the trunk motion, back of the hand, the wrist and one above the elbow, to capture arm movements. These sensors placement are carefully designed in order to avoid restricting bowler-s movements. Data is acquired from these sensors in soft-real time using virtual instrumentation; the acquired data is then conditioned and converted into required parameters for motion regeneration. A user interface was also created to facilitate in the acquisition of data, and broadcasting of commands to the wireless accelerometers. All motion regeneration in this paper deals with the motion of the human body segment in the X and Y direction, looking into the motion of the anterior/ posterior and lateral directions respectively.

Keywords: Motion Regeneration, Virtual Instrumentation, Wireless Accelerometers

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1880 Dispersed Error Control based on Error Filter Design for Improving Halftone Image Quality

Authors: Sang-Chul Kim, Sung-Il Chien

Abstract:

The error diffusion method generates worm artifacts, and weakens the edge of the halftone image when the continuous gray scale image is reproduced by a binary image. First, to enhance the edges, we propose the edge-enhancing filter by considering the quantization error information and gradient of the neighboring pixels. Furthermore, to remove worm artifacts often appearing in a halftone image, we add adaptively random noise into the weights of an error filter.

Keywords: Artifact suppression, Edge enhancement, Error diffusion method, Halftone image

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1879 Spatio-Temporal Patterns and Dynamics in Motion of Pathogenic Spirochetes: Implications toward Virulence and Treatment of Leptospirosis

Authors: R. Amornmaneekul, S. Chadsuthi, D. Triampo, W. Triampo

Abstract:

We apply a particle tracking technique to track the motion of individual pathogenic Leptospira. We observe and capture images of motile Leptospira by means of CCD and darkfield microscope. Image processing, statistical theories and simulations are used for data analysis. Based on trajectory patterns, mean square displacement, and power spectral density characteristics, we found that the motion modes are most likely to be directed motion mode (70%) and the rest are either normal diffusion or unidentified mode. Our findings may support the fact that why leptospires are very well efficient toward targeting internal tissues as a result of increase in virulence factor.

Keywords: Leptospirosis, spirochetes, patterns, motion.

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1878 Dynamic Optimization of Industrial Servomechanisms using Motion Laws Based On Bezier Curves

Authors: Giovanni Incerti

Abstract:

The motion planning procedure described in this paper has been developed in order to eliminate or reduce the residual vibrations of electromechanical positioning systems, without augmenting the motion time (usually imposed by production requirements), nor introducing overtime for vibration damping. The proposed technique is based on a suitable choice of the motion law assigned to the servomotor that drives the mechanism. The reference profile is defined by a Bezier curve, whose shape can be easily changed by modifying some numerical parameters. By means of an optimization technique these parameters can be modified without altering the continuity conditions imposed on the displacement and on its time derivatives at the initial and final time instants.

Keywords: Servomechanism, residual vibrations, motion optimization.

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1877 Latency-Based Motion Detection in Spiking Neural Networks

Authors: Mohammad Saleh Vahdatpour, Yanqing Zhang

Abstract:

Understanding the neural mechanisms underlying motion detection in the human visual system has long been a fascinating challenge in neuroscience and artificial intelligence. This paper presents a spiking neural network model inspired by the processing of motion information in the primate visual system, particularly focusing on the Middle Temporal (MT) area. In our study, we propose a multi-layer spiking neural network model to perform motion detection tasks, leveraging the idea that synaptic delays in neuronal communication are pivotal in motion perception. Synaptic delay, determined by factors like axon length and myelin insulation, affects the temporal order of input spikes, thereby encoding motion direction and speed. Overall, our spiking neural network model demonstrates the feasibility of capturing motion detection principles observed in the primate visual system. The combination of synaptic delays, learning mechanisms, and shared weights and delays in SMD provides a promising framework for motion perception in artificial systems, with potential applications in computer vision and robotics.

Keywords: Neural networks, motion detection, signature detection, convolutional neural network.

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1876 Flexible Follower Response of a Translating Cam with Four Different Profiles for Rise-Dwell-Fall-Dwell motion

Authors: Jer-Rong Chang

Abstract:

The flexible follower response of a translating cam with four different profiles for rise-dwell-fall-dwell (RDFD) motion is investigated. The cycloidal displacement motion, the modified sinusoidal acceleration motion, the modified trapezoidal acceleration motion, and the 3-4-5 polynomial motion are employed to describe the rise and the fall motions of the follower and the associated four kinds of cam profiles are studied. Since the follower flexibility is considered, the contact point of the roller and the cam is an unknown. Two geometric constraints formulated to restrain the unknown position are substituted into Hamilton-s principle with Lagrange multipliers. Applying the assumed mode method, one can obtain the governing equations of motion as non-linear differential-algebraic equations. The equations are solved using Runge-Kutta method. Then, the responses of the flexible follower undergoing the four different motions are investigated in time domain and in frequency domain.

Keywords: translating cam, flexible follower, rise-dwell-falldwell, response

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1875 Human Motion Capture: New Innovations in the Field of Computer Vision

Authors: Najm Alotaibi

Abstract:

Human motion capture has become one of the major area of interest in the field of computer vision. Some of the major application areas that have been rapidly evolving include the advanced human interfaces, virtual reality and security/surveillance systems. This study provides a brief overview of the techniques and applications used for the markerless human motion capture, which deals with analyzing the human motion in the form of mathematical formulations. The major contribution of this research is that it classifies the computer vision based techniques of human motion capture based on the taxonomy, and then breaks its down into four systematically different categories of tracking, initialization, pose estimation and recognition. The detailed descriptions and the relationships descriptions are given for the techniques of tracking and pose estimation. The subcategories of each process are further described. Various hypotheses have been used by the researchers in this domain are surveyed and the evolution of these techniques have been explained. It has been concluded in the survey that most researchers have focused on using the mathematical body models for the markerless motion capture.

Keywords: Human Motion Capture, Computer Vision, Vision based, Tracking.

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1874 Receding Horizon Filtering for Mobile Robot Systems with Cross-Correlated Sensor Noises

Authors: Il Young Song, Du Yong Kim, Vladimir Shin

Abstract:

This paper reports on a receding horizon filtering for mobile robot systems with cross-correlated sensor noises and uncertainties. Also, the effect of uncertain parameters in the state of the tracking error model performance is considered. A distributed fusion receding horizon filter is proposed. The distributed fusion filtering algorithm represents the optimal linear combination of the local filters under the minimum mean square error criterion. The derivation of the error cross-covariances between the local receding horizon filters is the key of this paper. Simulation results of the tracking mobile robot-s motion demonstrate high accuracy and computational efficiency of the distributed fusion receding horizon filter.

Keywords: Distributed fusion, fusion formula, Kalman filter, multisensor, receding horizon, wheeled mobile robot

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1873 Detection of Moving Images Using Neural Network

Authors: P. Latha, L. Ganesan, N. Ramaraj, P. V. Hari Venkatesh

Abstract:

Motion detection is a basic operation in the selection of significant segments of the video signals. For an effective Human Computer Intelligent Interaction, the computer needs to recognize the motion and track the moving object. Here an efficient neural network system is proposed for motion detection from the static background. This method mainly consists of four parts like Frame Separation, Rough Motion Detection, Network Formation and Training, Object Tracking. This paper can be used to verify real time detections in such a way that it can be used in defense applications, bio-medical applications and robotics. This can also be used for obtaining detection information related to the size, location and direction of motion of moving objects for assessment purposes. The time taken for video tracking by this Neural Network is only few seconds.

Keywords: Frame separation, Correlation Network, Neural network training, Radial Basis Function, object tracking, Motion Detection.

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1872 Image Distortion Correction Method of 2-MHz Side Scan Sonar for Underwater Structure Inspection

Authors: Youngseok Kim, Chul Park, Jonghwa Yi, Sangsik Choi

Abstract:

The 2-MHz Side Scan SONAR (SSS) attached to the boat for inspection of underwater structures is affected by shaking. It is difficult to determine the exact scale of damage of structure. In this study, a motion sensor is attached to the inside of the 2-MHz SSS to get roll, pitch, and yaw direction data, and developed the image stabilization tool to correct the sonar image. We checked that reliable data can be obtained with an average error rate of 1.99% between the measured value and the actual distance through experiment. It is possible to get the accurate sonar data to inspect damage in underwater structure.

Keywords: Image stabilization, motion sensor, safety inspection, sonar image, underwater structure.

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1871 Motion Estimator Architecture with Optimized Number of Processing Elements for High Efficiency Video Coding

Authors: Seongsoo Lee

Abstract:

Motion estimation occupies the heaviest computation in HEVC (high efficiency video coding). Many fast algorithms such as TZS (test zone search) have been proposed to reduce the computation. Still the huge computation of the motion estimation is a critical issue in the implementation of HEVC video codec. In this paper, motion estimator architecture with optimized number of PEs (processing element) is presented by exploiting early termination. It also reduces hardware size by exploiting parallel processing. The presented motion estimator architecture has 8 PEs, and it can efficiently perform TZS with very high utilization of PEs.

Keywords: Motion estimation, test zone search, high efficiency video coding, processing element, optimization.

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1870 Capture and Feedback in Flying Disc Throw with use of Kinect

Authors: Yasuhisa Tamura, Koji Yamaoka, Masataka Uehara, Takeshi Shima

Abstract:

This paper proposes a three-dimensional motion capture and feedback system of flying disc throwing action learners with use of Kinect device. Rather than conventional 3-D motion capture system, Kinect has advantages of cost merit, easy system development and operation. A novice learner of flying disc is trained to keep arm movement in steady height, to twist the waist, and to stretch the elbow according to the waist angle. The proposing system captures learners- body movement, checks their skeleton positions in pre-motion / motion / post-motion in several ways, and displays feedback messages to refine their actions.

Keywords: Flying disc, throwing movement, Kinect, capture, feedback

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1869 Decoder Design for a New Single Error Correcting/Double Error Detecting Code

Authors: M. T. Anwar, P. K. Lala, P. Thenappan

Abstract:

This paper presents the decoder design for the single error correcting and double error detecting code proposed by the authors in an earlier paper. The speed of error detection and correction of a code is largely dependent upon the associated encoder and decoder circuits. The complexity and the speed of such circuits are determined by the number of 1?s in the parity check matrix (PCM). The number of 1?s in the parity check matrix for the code proposed by the authors are fewer than in any currently known single error correcting/double error detecting code. This results in simplified encoding and decoding circuitry for error detection and correction.

Keywords: Decoder, Hsiao code, Parity Check Matrix, Syndrome Pattern.

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1868 Pseudo-polynomial Motion Commands for Vibration Suppression of Belt-driven Rotary Platforms

Authors: Giovanni Incerti

Abstract:

The motion planning technique described in this paper has been developed to eliminate or reduce the residual vibrations of belt-driven rotary platforms, while maintaining unchanged the motion time and the total angular displacement of the platform. The proposed approach is based on a suitable choice of the motion command given to the servomotor that drives the mechanical device; this command is defined by some numerical coefficients which determine the shape of the displacement, velocity and acceleration profiles. Using a numerical optimization technique, these coefficients can be changed without altering the continuity conditions imposed on the displacement and its time derivatives at the initial and final time instants. The proposed technique can be easily and quickly implemented on an actual device, since it requires only a simple modification of the motion command profile mapped in the memory of the electronic motion controller.

Keywords: Command shaping, residual vibrations, belt transmission, servomechanism.

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1867 Error Correction of Radial Displacement in Grinding Machine Tool Spindle by Optimizing Shape and Bearing Tuning

Authors: Khairul Jauhari, Achmad Widodo, Ismoyo Haryanto

Abstract:

In this article, the radial displacement error correction capability of a high precision spindle grinding caused by unbalance force was investigated. The spindle shaft is considered as a flexible rotor mounted on two sets of angular contact ball bearing. Finite element methods (FEM) have been adopted for obtaining the equation of motion of the spindle. In this paper, firstly, natural frequencies, critical frequencies, and amplitude of the unbalance response caused by residual unbalance are determined in order to investigate the spindle behaviors. Furthermore, an optimization design algorithm is employed to minimize radial displacement of the spindle which considers dimension of the spindle shaft, the dynamic characteristics of the bearings, critical frequencies and amplitude of the unbalance response, and computes optimum spindle diameters and stiffness and damping of the bearings. Numerical simulation results show that by optimizing the spindle diameters, and stiffness and damping in the bearings, radial displacement of the spindle can be reduced. A spindle about 4 μm radial displacement error can be compensated with 2 μm accuracy. This certainly can improve the accuracy of the product of machining.

Keywords: Error correction, High precision grinding, Optimization, Radial displacement, Spindle.

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1866 Experimental Studies of Position Control of Linkage based Robotic Finger

Authors: N. Z. Azlan, H. Yamaura

Abstract:

The experimental study of position control of a light weight and small size robotic finger during non-contact motion is presented in this paper. The finger possesses fingertip pinching and self adaptive grasping capabilities, and is made of a seven bar linkage mechanism with a slider in the middle phalanx. The control system is tested under the Proportional Integral Derivative (PID) control algorithm and Recursive Least Square (RLS) based Feedback Error Learning (FEL) control scheme to overcome the uncertainties present in the plant. The experiments conducted in Matlab Simulink and xPC Target environments show that the overall control strategy is efficient in controlling the finger movement.

Keywords: Anthropomorphic finger, position control, feedback error learning, experimental study

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1865 Calibration of the Radical Installation Limit Error of the Accelerometer in the Gravity Gradient Instrument

Authors: Danni Cong, Meiping Wu, Xiaofeng He, Junxiang Lian, Juliang Cao, Shaokuncai, Hao Qin

Abstract:

Gravity gradient instrument (GGI) is the core of the gravity gradiometer, so the structural error of the sensor has a great impact on the measurement results. In order not to affect the aimed measurement accuracy, limit error is required in the installation of the accelerometer. In this paper, based on the established measuring principle model, the radial installation limit error is calibrated, which is taken as an example to provide a method to calculate the other limit error of the installation under the premise of ensuring the accuracy of the measurement result. This method provides the idea for deriving the limit error of the geometry structure of the sensor, laying the foundation for the mechanical precision design and physical design.

Keywords: Gravity gradient sensor, radial installation limit error, accelerometer, uniaxial rotational modulation.

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1864 Analysis of Bit Error Rate Improvement in MFSK Communication Link

Authors: O. P. Sharma, V. Janyani, S. Sancheti

Abstract:

Data rate, tolerable bit error rate or frame error rate and range & coverage are the key performance requirement of a communication link. In this paper performance of MFSK link is analyzed in terms of bit error rate, number of errors and total number of data processed. In the communication link model proposed, which is implemented using MATLAB block set, an improvement in BER is observed. Different parameters which effects and enables to keep BER low in M-ary communication system are also identified.

Keywords: Additive White Gaussian Noise (AWGN), Bit Error Rate (BER), Frequency Shift Keying (FSK), Orthogonal Signaling.

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1863 Characterization of Extreme Low-Resolution Digital Encoder for Control System with Sinusoidal Reference Signal

Authors: Zhenyu Zhang, Qingbin Gao

Abstract:

Low-resolution digital encoder (LRDE) is commonly adopted as a position sensor in low-cost and resource-constraint applications. Traditionally, a digital encoder is modeled as a quantizer without considering the initial position of the LRDE. However, it cannot be applied to extreme LRDE for which stroke of angular motion is only a few times of resolution of the encoder. Besides, the actual angular motion is substantially distorted by this extreme LRDE so that the encoder reading does not faithfully represent the actual angular motion. This paper presents a modeling method for extreme LRDE by taking into account the initial position of the LRDE. For a control system with sinusoidal reference signal and extreme LRDE, this paper analyzes the characteristics of angular motion. Specifically, two descriptors of sinusoidal angular motion are studied, which essentially sheds light on the actual angular motion from extreme LRDE.

Keywords: Low resolution digital encoder, resource-constraint control system, sinusoidal reference signal, servo motion control.

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1862 High Capacity Reversible Watermarking through Interpolated Error Shifting

Authors: Hae-Yeoun Lee

Abstract:

Reversible watermarking that not only protects the copyright but also preserve the original quality of the digital content have been intensively studied. In particular, the demand for reversible watermarking has increased. In this paper, we propose a reversible watermarking scheme based on interpolation-error shifting and error pre-compensation. The intensity of a pixel is interpolated from the intensities of neighboring pixels, and the difference histogram between the interpolated and the original intensities is obtained and modified to embed the watermark message. By restoring the difference histogram, the embedded watermark is extracted and the original image is recovered by compensating for the interpolation error. The overflow and underflow are prevented by error pre-compensation. To show the performance of the method, the proposed algorithm is compared with other methods using various test images.

Keywords: Reversible watermarking, High capacity, High quality, Interpolated error shifting, Error pre-compensation.

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1861 Reducing Power in Error Correcting Code using Genetic Algorithm

Authors: Heesung Lee, Joonkyung Sung, Euntai Kim

Abstract:

This paper proposes a method which reduces power consumption in single-error correcting, double error-detecting checker circuits that perform memory error correction code. Power is minimized with little or no impact on area and delay, using the degrees of freedom in selecting the parity check matrix of the error correcting codes. The genetic algorithm is employed to solve the non linear power optimization problem. The method is applied to two commonly used SEC-DED codes: standard Hamming and odd column weight Hsiao codes. Experiments were performed to show the performance of the proposed method.

Keywords: Error correcting codes, genetic algorithm, non-linearpower optimization, Hamming code, Hsiao code.

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1860 Derivation of Fractional Black-Scholes Equations Driven by Fractional G-Brownian Motion and Their Application in European Option Pricing

Authors: Changhong Guo, Shaomei Fang, Yong He

Abstract:

In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes.

Keywords: European option pricing, fractional Black-Scholes equations, fractional G-Brownian motion, Taylor’s series of fractional order, uncertain volatility.

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