Search results for: Fractional flow curve
2696 Group Invariant Solutions of Nonlinear Time-Fractional Hyperbolic Partial Differential Equation
Authors: Anupma Bansal, Rajeev Budhiraja, Manoj Pandey
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In this paper, we have investigated the nonlinear time-fractional hyperbolic partial differential equation (PDE) for its symmetries and invariance properties. With the application of this method, we have tried to reduce it to time-fractional ordinary differential equation (ODE) which has been further studied for exact solutions.Keywords: Nonlinear time-fractional hyperbolic PDE, Lie Classical method, exact solutions.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 13692695 Stability Analysis of Fractional Order Systems with Time Delay
Authors: Hong Li, Shou-Ming Zhong, Hou-Biao Li
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In this paper, we mainly study the stability of linear and interval linear fractional systems with time delay. By applying the characteristic equations, a necessary and sufficient stability condition is obtained firstly, and then some sufficient conditions are deserved. In addition, according to the equivalent relationship of fractional order systems with order 0 < α ≤ 1 and with order 1 ≤ β < 2, one may get more relevant theorems. Finally, two examples are provided to demonstrate the effectiveness of our results.
Keywords: Fractional order systems, Time delay, Characteristic equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 36612694 Backstepping Design and Fractional Derivative Equation of Chaotic System
Authors: Ayub Khan, Net Ram Garg, Geeta Jain
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In this paper, Backstepping method is proposed to synchronize two fractional-order systems. The simulation results show that this method can effectively synchronize two chaotic systems.
Keywords: Backstepping method, Fractional order, Synchronization.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 21432693 Generator Capability Curve Constraint for PSO Based Optimal Power Flow
Authors: Mat Syai'in, Adi Soeprijanto, Takashi Hiyama
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An optimal power flow (OPF) based on particle swarm optimization (PSO) was developed with more realistic generator security constraint using the capability curve instead of only Pmin/Pmax and Qmin/Qmax. Neural network (NN) was used in designing digital capability curve and the security check algorithm. The algorithm is very simple and flexible especially for representing non linear generation operation limit near steady state stability limit and under excitation operation area. In effort to avoid local optimal power flow solution, the particle swarm optimization was implemented with enough widespread initial population. The objective function used in the optimization process is electric production cost which is dominated by fuel cost. The proposed method was implemented at Java Bali 500 kV power systems contain of 7 generators and 20 buses. The simulation result shows that the combination of generator power output resulted from the proposed method was more economic compared with the result using conventional constraint but operated at more marginal operating point.Keywords: Optimal Power Flow, Generator Capability Curve, Particle Swarm Optimization, Neural Network
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 25732692 Finite-time Stability Analysis of Fractional-order with Multi-state Time Delay
Authors: Liqiong Liu, Shouming Zhong
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In this paper, the finite-time stabilization of a class of multi-state time delay of fractional-order system is proposed. First, we define finite-time stability with the fractional-order system. Second, by using Generalized Gronwall's approach and the methods of the inequality, we get some conditions of finite-time stability for the fractional system with multi-state delay. Finally, a numerical example is given to illustrate the result.
Keywords: Finite-time stabilization, fractional-order system, Gronwall inequality.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 19022691 Numerical Solution of Volterra Integro-differential Equations of Fractional Order by Laplace Decomposition Method
Authors: Changqing Yang, Jianhua Hou
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In this paper the Laplace Decomposition method is developed to solve linear and nonlinear fractional integro- differential equations of Volterra type.The fractional derivative is described in the Caputo sense.The Laplace decomposition method is found to be fast and accurate.Illustrative examples are included to demonstrate the validity and applicability of presented technique and comparasion is made with exacting results.
Keywords: Integro-differential equations, Laplace transform, fractional derivative, adomian polynomials, pade appoximants.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16662690 Stability of Fractional Differential Equation
Authors: Rabha W. Ibrahim
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We study a Dirichlet boundary value problem for Lane-Emden equation involving two fractional orders. Lane-Emden equation has been widely used to describe a variety of phenomena in physics and astrophysics, including aspects of stellar structure, the thermal history of a spherical cloud of gas, isothermal gas spheres,and thermionic currents. However, ordinary Lane-Emden equation does not provide the correct description of the dynamics for systems in complex media. In order to overcome this problem and describe dynamical processes in a fractalmedium, numerous generalizations of Lane-Emden equation have been proposed. One such generalization replaces the ordinary derivative by a fractional derivative in the Lane-Emden equation. This gives rise to the fractional Lane-Emden equation with a single index. Recently, a new type of Lane-Emden equation with two different fractional orders has been introduced which provides a more flexible model for fractal processes as compared with the usual one characterized by a single index. The contraction mapping principle and Krasnoselskiis fixed point theorem are applied to prove the existence of solutions of the problem in a Banach space. Ulam-Hyers stability for iterative Cauchy fractional differential equation is defined and studied.
Keywords: Fractional calculus, fractional differential equation, Lane-Emden equation, Riemann-Liouville fractional operators, Volterra integral equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 37152689 Neural Network Optimal Power Flow(NN-OPF) based on IPSO with Developed Load Cluster Method
Authors: Mat Syai'in, Adi Soeprijanto
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An Optimal Power Flow based on Improved Particle Swarm Optimization (OPF-IPSO) with Generator Capability Curve Constraint is used by NN-OPF as a reference to get pattern of generator scheduling. There are three stages in Designing NN-OPF. The first stage is design of OPF-IPSO with generator capability curve constraint. The second stage is clustering load to specific range and calculating its index. The third stage is training NN-OPF using constructive back propagation method. In training process total load and load index used as input, and pattern of generator scheduling used as output. Data used in this paper is power system of Java-Bali. Software used in this simulation is MATLAB.Keywords: Optimal Power Flow, Generator Capability Curve, Improved Particle Swarm Optimization, Neural Network
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 19502688 Synthesis of Digital Circuits with Genetic Algorithms: A Fractional-Order Approach
Authors: Cecília Reis, J. A. Tenreiro Machado, J. Boaventura Cunha
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This paper analyses the performance of a genetic algorithm using a new concept, namely a fractional-order dynamic fitness function, for the synthesis of combinational logic circuits. The experiments reveal superior results in terms of speed and convergence to achieve a solution.
Keywords: Circuit design, fractional-order systems, genetic algorithms, logic circuits.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 14222687 Fractional-Order PI Controller Tuning Rules for Cascade Control System
Authors: Truong Nguyen Luan Vu, Le Hieu Giang, Le Linh
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The fractional–order proportional integral (FOPI) controller tuning rules based on the fractional calculus for the cascade control system are systematically proposed in this paper. Accordingly, the ideal controller is obtained by using internal model control (IMC) approach for both the inner and outer loops, which gives the desired closed-loop responses. On the basis of the fractional calculus, the analytical tuning rules of FOPI controller for the inner loop can be established in the frequency domain. Besides, the outer loop is tuned by using any integer PI/PID controller tuning rules in the literature. The simulation study is considered for the stable process model and the results demonstrate the simplicity, flexibility, and effectiveness of the proposed method for the cascade control system in compared with the other methods.
Keywords: Fractional calculus, fractional–order proportional integral controller, cascade control system, internal model control approach.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15572686 An Efficient Collocation Method for Solving the Variable-Order Time-Fractional Partial Differential Equations Arising from the Physical Phenomenon
Authors: Haniye Dehestani, Yadollah Ordokhani
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In this work, we present an efficient approach for solving variable-order time-fractional partial differential equations, which are based on Legendre and Laguerre polynomials. First, we introduced the pseudo-operational matrices of integer and variable fractional order of integration by use of some properties of Riemann-Liouville fractional integral. Then, applied together with collocation method and Legendre-Laguerre functions for solving variable-order time-fractional partial differential equations. Also, an estimation of the error is presented. At last, we investigate numerical examples which arise in physics to demonstrate the accuracy of the present method. In comparison results obtained by the present method with the exact solution and the other methods reveals that the method is very effective.Keywords: Collocation method, fractional partial differential equations, Legendre-Laguerre functions, pseudo-operational matrix of integration.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 10222685 Synthesis of Logic Circuits Using Fractional-Order Dynamic Fitness Functions
Authors: Cecília Reis, J. A. Tenreiro Machado, J. Boaventura Cunha
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This paper analyses the performance of a genetic algorithm using a new concept, namely a fractional-order dynamic fitness function, for the synthesis of combinational logic circuits. The experiments reveal superior results in terms of speed and convergence to achieve a solution.
Keywords: Circuit design, fractional-order systems, genetic algorithms, logic circuits
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 17362684 Estimating the Flow Velocity Using Flow Generated Sound
Authors: Saeed Hosseini, Ali Reza Tahavvor
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Sound processing is one the subjects that newly attracts a lot of researchers. It is efficient and usually less expensive than other methods. In this paper the flow generated sound is used to estimate the flow speed of free flows. Many sound samples are gathered. After analyzing the data, a parameter named wave power is chosen. For all samples the wave power is calculated and averaged for each flow speed. A curve is fitted to the averaged data and a correlation between the wave power and flow speed is found. Test data are used to validate the method and errors for all test data were under 10 percent. The speed of the flow can be estimated by calculating the wave power of the flow generated sound and using the proposed correlation.Keywords: Flow generated sound, sound processing, speed, wave power.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 23682683 Vortex-Shedding Suppression in Mixed Convective Flow past a Heated Square Cylinder
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The present study investigates numerically the phenomenon of vortex-shedding and its suppression in twodimensional mixed convective flow past a square cylinder under the joint influence of buoyancy and free-stream orientation with respect to gravity. The numerical experiments have been conducted at a fixed Reynolds number (Re) of 100 and Prandtl number (Pr) of 0.71, while Richardson number (Ri) is varied from 0 to 1.6 and freestream orientation, α, is kept in the range 0o≤ α ≤ 90o, with 0o corresponding to an upward flow and 90o representing a cross-flow scenario, respectively. The continuity, momentum and energy equations, subject to Boussinesq approximation, are discretized using a finite difference method and are solved by a semi-explicit pressure correction scheme. The critical Richardson number, leading to the suppression of the vortex-shedding (Ric), is estimated by using Stuart-Landau theory at various free-stream orientations and the neutral curve is obtained in the Ri-α plane. The neutral curve exhibits an interesting non-monotonic behavior with Ric first increasing with increasing values of α upto 45o and then decreasing till 70o. Beyond 70o, the neutral curve again exhibits a sharp increasing asymptotic trend with Ric approaching very large values as α approaches 90o. The suppression of vortex shedding is not observed at α = 90o (cross-flow). In the unsteady flow regime, the Strouhal number (St) increases with the increase in Richardson number.Keywords: bluff body, buoyancy, free-stream orientation, vortex-shedding.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 22702682 Measurement Fractional Order Sallen-Key Filters
Authors: Ahmed Soltan, Ahmed G. Radwan, Ahmed M. Soliman
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This work aims to generalize the integer order Sallen-Key filters into the fractional-order domain. The analysis in the case of two different fractional-order elements introduced where the general transfer function becomes four terms which is unusual in the conventional case. In addition, the effect of the transfer function parameters on the filter poles and hence the stability is introduced and closed forms for the filter critical frequencies are driven. Finally, different examples for the fractional order Sallen-Key filter design are presented with circuit simulations using ADS where a great matching between the numerical and simulation results is obtained.
Keywords: Analog Filter, Low-Pass Filter, Fractance, Sallen-Key, Stability.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 31422681 Stability Analysis in a Fractional Order Delayed Predator-Prey Model
Authors: Changjin Xu, Peiluan Li
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In this paper, we study the stability of a fractional order delayed predator-prey model. By using the Laplace transform, we introduce a characteristic equation for the above system. It is shown that if all roots of the characteristic equation have negative parts, then the equilibrium of the above fractional order predator-prey system is Lyapunov globally asymptotical stable. An example is given to show the effectiveness of the approach presented in this paper.
Keywords: Fractional predator-prey model, laplace transform, characteristic equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 24972680 Hermite–Hadamard Type Integral Inequalities Involving k–Riemann–Liouville Fractional Integrals and Their Applications
Authors: Artion Kashuri, Rozana Liko
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In this paper, some generalization integral inequalities of Hermite–Hadamard type for functions whose derivatives are s–convex in modulus are given by using k–fractional integrals. Some applications to special means are obtained as well. Some known versions are recovered as special cases from our results. We note that our inequalities can be viewed as new refinements of the previous results. Finally, our results have a deep connection with various fractional integral operators and interested readers can find new interesting results using our idea and technique as well.Keywords: Hermite–Hadamard’s inequalities, k–Riemann–Liouville fractional integral, H¨older’s inequality, Special means.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 6082679 A Necessary Condition for the Existence of Chaos in Fractional Order Delay Differential Equations
Authors: Sachin Bhalekar
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In this paper we propose a necessary condition for the existence of chaos in delay differential equations of fractional order. To explain the proposed theory, we discuss fractional order Liu system and financial system involving delay.
Keywords: Caputo derivative, delay, stability, chaos.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 26642678 Application of He-s Amplitude Frequency Formulation for a Nonlinear Oscillator with Fractional Potential
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In this paper, He-s amplitude frequency formulation is used to obtain a periodic solution for a nonlinear oscillator with fractional potential. By calculation and computer simulations, compared with the exact solution shows that the result obtained is of high accuracy.
Keywords: He's amplitude frequency formulation, Periodic solution, Nonlinear oscillator, Fractional potential.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 13682677 Approximating Maximum Speed on Road from Curvature Information of Bezier Curve
Authors: M. Y. Misro, A. Ramli, J. M. Ali
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Bezier curves have useful properties for path generation problem, for instance, it can generate the reference trajectory for vehicles to satisfy the path constraints. Both algorithms join cubic Bezier curve segment smoothly to generate the path. Some of the useful properties of Bezier are curvature. In mathematics, curvature is the amount by which a geometric object deviates from being flat, or straight in the case of a line. Another extrinsic example of curvature is a circle, where the curvature is equal to the reciprocal of its radius at any point on the circle. The smaller the radius, the higher the curvature thus the vehicle needs to bend sharply. In this study, we use Bezier curve to fit highway-like curve. We use different approach to find the best approximation for the curve so that it will resembles highway-like curve. We compute curvature value by analytical differentiation of the Bezier Curve. We will then compute the maximum speed for driving using the curvature information obtained. Our research works on some assumptions; first, the Bezier curve estimates the real shape of the curve which can be verified visually. Even though, fitting process of Bezier curve does not interpolate exactly on the curve of interest, we believe that the estimation of speed are acceptable. We verified our result with the manual calculation of the curvature from the map.Keywords: Speed estimation, path constraints, reference trajectory, Bezier curve.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 40572676 20 GHz Fractional Phased Locked Loop Circuit for the Gbps Wireless Communication
Authors: Ki-Jin Kim, Sanghoon Park, K. H. Ahn
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This paper presents the 20-GHz fractional PLL (Phase Locked Loop) circuit for the next generation Wi-Fi by using 90 nm TSMC process. The newly suggested millimeter wave 16/17 pre-scalar is designed and verified by measurement to make the fractional PLL having a low quantization noise. The operational bandwidth of the 60 GHz system is 15 % of the carrier frequency which requires large value of Kv (VCO control gain) resulting in degradation of phase noise. To solve this problem, this paper adopts AFC (Automatic Frequency Controller) controlled 4-bit millimeter wave VCO with small value of Kv. Also constant Kv is implemented using 4-bit varactor bank. The measured operational bandwidth is 18.2 ~ 23.2 GHz which is 25 % of the carrier frequency. The phase noise of -58 and -96.2 dBc/Hz at 100 KHz and 1 MHz offset is measured respectively. The total power consumption of the PLL is only 30 mW.Keywords: Millimeter Wave Fractional PLL, Wide band VCO, WPAN Transceiver.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18832675 A Two-Channel Secure Communication Using Fractional Chaotic Systems
Authors: Long Jye Sheu, Wei Ching Chen, Yen Chu Chen, Wei Tai Weng
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In this paper, a two-channel secure communication using fractional chaotic systems is presented. Conditions for chaos synchronization have been investigated theoretically by using Laplace transform. To illustrate the effectiveness of the proposed scheme, a numerical example is presented. The keys, key space, key selection rules and sensitivity to keys are discussed in detail. Results show that the original plaintexts have been well masked in the ciphertexts yet recovered faithfully and efficiently by the present schemes.Keywords: fractional chaotic systems, synchronization, securecommunication.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 17472674 Stability Analysis of Linear Fractional Order Neutral System with Multiple Delays by Algebraic Approach
Authors: Lianglin Xiong, Yun Zhao, Tao Jiang
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In this paper, we study the stability of n-dimensional linear fractional neutral differential equation with time delays. By using the Laplace transform, we introduce a characteristic equation for the above system with multiple time delays. We discover that if all roots of the characteristic equation have negative parts, then the equilibrium of the above linear system with fractional order is Lyapunov globally asymptotical stable if the equilibrium exist that is almost the same as that of classical differential equations. An example is provided to show the effectiveness of the approach presented in this paper.
Keywords: Fractional neutral differential equation, Laplace transform, characteristic equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 22972673 Application of a SubIval Numerical Solver for Fractional Circuits
Authors: Marcin Sowa
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The paper discusses the subinterval-based numerical method for fractional derivative computations. It is now referred to by its acronym – SubIval. The basis of the method is briefly recalled. The ability of the method to be applied in time stepping solvers is discussed. The possibility of implementing a time step size adaptive solver is also mentioned. The solver is tested on a transient circuit example. In order to display the accuracy of the solver – the results have been compared with those obtained by means of a semi-analytical method called gcdAlpha. The time step size adaptive solver applying SubIval has been proven to be very accurate as the results are very close to the referential solution. The solver is currently able to solve FDE (fractional differential equations) with various derivative orders for each equation and any type of source time functions.Keywords: Numerical method, SubIval, fractional calculus, numerical solver, circuit analysis.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 6682672 Anisotropic Total Fractional Order Variation Model in Seismic Data Denoising
Authors: Jianwei Ma, Diriba Gemechu
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In seismic data processing, attenuation of random noise is the basic step to improve quality of data for further application of seismic data in exploration and development in different gas and oil industries. The signal-to-noise ratio of the data also highly determines quality of seismic data. This factor affects the reliability as well as the accuracy of seismic signal during interpretation for different purposes in different companies. To use seismic data for further application and interpretation, we need to improve the signal-to-noise ration while attenuating random noise effectively. To improve the signal-to-noise ration and attenuating seismic random noise by preserving important features and information about seismic signals, we introduce the concept of anisotropic total fractional order denoising algorithm. The anisotropic total fractional order variation model defined in fractional order bounded variation is proposed as a regularization in seismic denoising. The split Bregman algorithm is employed to solve the minimization problem of the anisotropic total fractional order variation model and the corresponding denoising algorithm for the proposed method is derived. We test the effectiveness of theproposed method for synthetic and real seismic data sets and the denoised result is compared with F-X deconvolution and non-local means denoising algorithm.Keywords: Anisotropic total fractional order variation, fractional order bounded variation, seismic random noise attenuation, Split Bregman Algorithm.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 10132671 Robust Fractional-Order PI Controller with Ziegler-Nichols Rules
Authors: Mazidah Tajjudin, Mohd Hezri Fazalul Rahiman, Norhashim Mohd Arshad, Ramli Adnan
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In process control applications, above 90% of the controllers are of PID type. This paper proposed a robust PI controller with fractional-order integrator. The PI parameters were obtained using classical Ziegler-Nichols rules but enhanced with the application of error filter cascaded to the fractional-order PI. The controller was applied on steam temperature process that was described by FOPDT transfer function. The process can be classified as lag dominating process with very small relative dead-time. The proposed control scheme was compared with other PI controller tuned using Ziegler-Nichols and AMIGO rules. Other PI controller with fractional-order integrator known as F-MIGO was also considered. All the controllers were subjected to set point change and load disturbance tests. The performance was measured using Integral of Squared Error (ISE) and Integral of Control Signal (ICO). The proposed controller produced best performance for all the tests with the least ISE index.
Keywords: PID controller, fractional-order PID controller, PI control tuning, steam temperature control, Ziegler-Nichols tuning.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 34702670 Parametric Transition as a Spiral Curve and Its Application in Spur Gear Tooth with FEA
Authors: S. H. Yahaya, J. M. Ali, T.A. Abdullah
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The exploration of this paper will focus on the Cshaped transition curve. This curve is designed by using the concept of circle to circle where one circle lies inside other. The degree of smoothness employed is curvature continuity. The function used in designing the C-curve is Bézier-like cubic function. This function has a low degree, flexible for the interactive design of curves and surfaces and has a shape parameter. The shape parameter is used to control the C-shape curve. Once the C-shaped curve design is completed, this curve will be applied to design spur gear tooth. After the tooth design procedure is finished, the design will be analyzed by using Finite Element Analysis (FEA). This analysis is used to find out the applicability of the tooth design and the gear material that chosen. In this research, Cast Iron 4.5 % Carbon, ASTM A-48 is selected as a gear material.Keywords: Bézier-like cubic function, Curvature continuity, Cshapedtransition curve, Spur gear tooth.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 23392669 Projective Synchronization of a Class of Fractional-Order Chaotic Systems
Authors: Zahra Yaghoubi, Nooshin Bigdeli, Karim Afshar
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This paper at first presents approximate analytical solutions for systems of fractional differential equations using the differential transform method. The application of differential transform method, developed for differential equations of integer order, is extended to derive approximate analytical solutions of systems of fractional differential equations. The solutions of our model equations are calculated in the form of convergent series with easily computable components. After that a drive-response synchronization method with linear output error feedback is presented for “generalized projective synchronization" for a class of fractional-order chaotic systems via a scalar transmitted signal. Genesio_Tesi and Duffing systems are used to illustrate the effectiveness of the proposed synchronization method. Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18112668 Long-Range Dependence of Financial Time Series Data
Authors: Chatchai Pesee
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This paper examines long-range dependence or longmemory of financial time series on the exchange rate data by the fractional Brownian motion (fBm). The principle of spectral density function in Section 2 is used to find the range of Hurst parameter (H) of the fBm. If 0< H <1/2, then it has a short-range dependence (SRD). It simulates long-memory or long-range dependence (LRD) if 1/2< H <1. The curve of exchange rate data is fBm because of the specific appearance of the Hurst parameter (H). Furthermore, some of the definitions of the fBm, long-range dependence and selfsimilarity are reviewed in Section II as well. Our results indicate that there exists a long-memory or a long-range dependence (LRD) for the exchange rate data in section III. Long-range dependence of the exchange rate data and estimation of the Hurst parameter (H) are discussed in Section IV, while a conclusion is discussed in Section V.Keywords: Fractional Brownian motion, long-rangedependence, memory, short-range dependence.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18832667 Riemann-Liouville Fractional Calculus and Multiindex Dzrbashjan-Gelfond-Leontiev Differentiation and Integration with Multiindex Mittag-Leffler Function
Authors: U.K. Saha, L.K. Arora
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The multiindex Mittag-Leffler (M-L) function and the multiindex Dzrbashjan-Gelfond-Leontiev (D-G-L) differentiation and integration play a very pivotal role in the theory and applications of generalized fractional calculus. The object of this paper is to investigate the relations that exist between the Riemann-Liouville fractional calculus and multiindex Dzrbashjan-Gelfond-Leontiev differentiation and integration with multiindex Mittag-Leffler function.
Keywords: Multiindex Mittag-Leffler function, Multiindex Dzrbashjan-Gelfond-Leontiev differentiation and integration, Riemann-Liouville fractional integrals and derivatives.
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