**Commenced**in January 2007

**Frequency:**Monthly

**Edition:**International

**Paper Count:**829

# Search results for: Fractional Brownian motion

##### 829 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:**

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

##### 828 Long-Range Dependence of Financial Time Series Data

**Authors:**
Chatchai Pesee

**Abstract:**

**Keywords:**
Fractional Brownian motion,
long-rangedependence,
memory,
short-range dependence.

##### 827 Effects of Nanolayer Structure and Brownian Motion of Particles in Thermal Conductivity Enhancement of Nanofluids

**Authors:**
M. Izadi,
S. Hossainpour,
D. Jalali-Vahid

**Abstract:**

**Keywords:**
Relative thermal conductivity,
Brownian motion,
Nanolayer structure.

##### 826 Flow and Heat Transfer of a Nanofluid over a Shrinking Sheet

**Authors:**
N. Bachok,
N. L. Aleng,
N. M. Arifin,
A. Ishak,
N. Senu

**Abstract:**

The problem of laminar fluid flow which results from
the shrinking of a permeable surface in a nanofluid has been
investigated numerically. The model used for the nanofluid
incorporates the effects of Brownian motion and thermophoresis. A
similarity solution is presented which depends on the mass suction
parameter *S*, Prandtl number *Pr*, Lewis number *Le*, Brownian motion
number *Nb* and thermophoresis number *Nt*. It was found that the
reduced Nusselt number is decreasing function of each dimensionless
number.

**Keywords:**
Boundary layer,
Nanofluid,
Shrinking sheet,
Brownian motion,
Thermophoresis,
Similarity solution.

##### 825 The Use of Fractional Brownian Motion in the Generation of Bed Topography for Bodies of Water Coupled with the Lattice Boltzmann Method

**Authors:**
Elysia Barker,
Jian Guo Zhou,
Ling Qian,
Steve Decent

**Abstract:**

A method of modelling topography used in the simulation of riverbeds is proposed in this paper which removes the need for datapoints and measurements of a physical terrain. While complex scans of the contours of a surface can be achieved with other methods, this requires specialised tools which the proposed method overcomes by using fractional Brownian motion (FBM) as a basis to estimate the real surface within a 15% margin of error while attempting to optimise algorithmic efficiency. This removes the need for complex, expensive equipment and reduces resources spent modelling bed topography. This method also accounts for the change in topography over time due to erosion, sediment transport, and other external factors which could affect the topography of the ground by updating its parameters and generating a new bed. The lattice Boltzmann method (LBM) is used to simulate both stationary and steady flow cases in a side-by-side comparison over the generated bed topography using the proposed method, and a test case taken from an external source. The method, if successful, will be incorporated into the current LBM program used in the testing phase, which will allow an automatic generation of topography for the given situation in future research, removing the need for bed data to be specified.

**Keywords:**
Bed topography,
FBM,
LBM,
shallow water,
simulations.

##### 824 Investigation on Nanoparticle Velocity in Two Phase Approach

**Authors:**
E. Mat Tokit,
Yusoff M. Z,
Mohammed H.

**Abstract:**

Numerical investigation on the generality of nanoparticle velocity equation had been done on the previous published work. The three dimensional governing equations (continuity, momentum and energy) were solved using finite volume method (FVM). Parametric study of thermal performance between pure water-cooled and nanofluid-cooled are evaluated for volume fraction in the range of 1% to 4%, and nanofluid type of gamma-Al_{2}O_{3 }at Reynolds number range of 67.41 to 286.77. The nanofluid is modeled using single and two phase approach. Three different existing Brownian motion velocities are applied in comparing the generality of the equation for a wide parametric condition. Deviation in between the Brownian motion velocity is identified to be due to the different means of mean free path and constant value used in diffusion equation.

**Keywords:**
Brownian nanoparticle velocity,
heat transfer enhancement,
nanofluid,
two phase model.

##### 823 Estimation of Thermal Conductivity of Nanofluids Using MD-Stochastic Simulation Based Approach

**Authors:**
Sujoy Das,
M. M. Ghosh

**Abstract:**

The thermal conductivity of a fluid can be significantly enhanced by dispersing nano-sized particles in it, and the resultant fluid is termed as "nanofluid". A theoretical model for estimating the thermal conductivity of a nanofluid has been proposed here. It is based on the mechanism that evenly dispersed nanoparticles within a nanofluid undergo Brownian motion in course of which the nanoparticles repeatedly collide with the heat source. During each collision a rapid heat transfer occurs owing to the solidsolid contact. Molecular dynamics (MD) simulation of the collision of nanoparticles with the heat source has shown that there is a pulselike pick up of heat by the nanoparticles within 20-100 ps, the extent of which depends not only on thermal conductivity of the nanoparticles, but also on the elastic and other physical properties of the nanoparticle. After the collision the nanoparticles undergo Brownian motion in the base fluid and release the excess heat to the surrounding base fluid within 2-10 ms. The Brownian motion and associated temperature variation of the nanoparticles have been modeled by stochastic analysis. Repeated occurrence of these events by the suspended nanoparticles significantly contributes to the characteristic thermal conductivity of the nanofluids, which has been estimated by the present model for a ethylene glycol based nanofluid containing Cu-nanoparticles of size ranging from 8 to 20 nm, with Gaussian size distribution. The prediction of the present model has shown a reasonable agreement with the experimental data available in literature.

**Keywords:**
Brownian dynamics,
Molecular dynamics,
Nanofluid,
Thermal conductivity.

##### 822 Mathematical Analysis of Stock Prices Prediction in a Financial Market Using Geometric Brownian Motion Model

**Authors:**
Edikan E. Akpanibah,
Ogunmodimu Dupe Catherine

**Abstract:**

The relevance of geometric Brownian motion (GBM) in modelling the behaviour of stock market prices (SMP) cannot be over emphasized taking into consideration the volatility of the SMP. Consequently, there is need to investigate how GBM models are being estimated and used in financial market to predict SMP. To achieve this, the GBM estimation and its application to the SMP of some selected companies are studied. The normal and log-normal distributions were used to determine the expected value, variance and co-variance. Furthermore, the GBM model was used to predict the SMP of some selected companies over a period of time and the mean absolute percentage error (MAPE) were calculated and used to determine the accuracy of the GBM model in predicting the SMP of the four companies under consideration. It was observed that for all the four companies, their MAPE values were within the region of acceptance. Also, the MAPE values of our data were compared to an existing literature to test the accuracy of our prediction with respect to time of investment. Finally, some numerical simulations of the graphs of the SMP, expectations and variance of the four companies over a period of time were presented using MATLAB programming software.

**Keywords:**
Stock Market,
Geometric Brownian Motion,
normal and log-normal distribution,
mean absolute percentage error.

##### 821 Notes on Fractional k-Covered Graphs

**Authors:**
Sizhong Zhou,
Yang Xu

**Abstract:**

**Keywords:**
graph,
binding number,
fractional k-factor,
fractional k-covered graph.

##### 820 On Fractional (k,m)-Deleted Graphs with Constrains Conditions

**Authors:**
Sizhong Zhou,
Hongxia Liu

**Abstract:**

Let G be a graph of order n, and let k 2 and m 0 be two integers. Let h : E(G) [0, 1] be a function. If e∋x h(e) = k holds for each x V (G), then we call G[Fh] a fractional k-factor of G with indicator function h where Fh = {e E(G) : h(e) > 0}. A graph G is called a fractional (k,m)-deleted graph if there exists a fractional k-factor G[Fh] of G with indicator function h such that h(e) = 0 for any e E(H), where H is any subgraph of G with m edges. In this paper, it is proved that G is a fractional (k,m)-deleted graph if (G) k + m + m k+1 , n 4k2 + 2k − 6 + (4k 2 +6k−2)m−2 k−1 and max{dG(x), dG(y)} n 2 for any vertices x and y of G with dG(x, y) = 2. Furthermore, it is shown that the result in this paper is best possible in some sense.

**Keywords:**
Graph,
degree condition,
fractional k-factor,
fractional (k,
m)-deleted graph.

##### 819 A Neighborhood Condition for Fractional k-deleted Graphs

**Authors:**
Sizhong Zhou,
Hongxia Liu

**Abstract:**

Abstract–Let k ≥ 3 be an integer, and let G be a graph of order n with n ≥ 9k +3- 42(k - 1)2 + 2. Then a spanning subgraph F of G is called a k-factor if dF (x) = k for each x ∈ V (G). A fractional k-factor is a way of assigning weights to the edges of a graph G (with all weights between 0 and 1) such that for each vertex the sum of the weights of the edges incident with that vertex is k. A graph G is a fractional k-deleted graph if there exists a fractional k-factor after deleting any edge of G. In this paper, it is proved that G is a fractional k-deleted graph if G satisfies δ(G) ≥ k + 1 and |NG(x) ∪ NG(y)| ≥ 1 2 (n + k - 2) for each pair of nonadjacent vertices x, y of G.

**Keywords:**
Graph,
minimum degree,
neighborhood union,
fractional k-factor,
fractional k-deleted graph.

##### 818 FEM Simulation of Triple Diffusive Magnetohydrodynamics Effect of Nanofluid Flow over a Nonlinear Stretching Sheet

**Authors:**
Rangoli Goyal,
Rama Bhargava

**Abstract:**

**Keywords:**
FEM,
Thermophoresis,
Diffusiophoresis,
Brownian motion.

##### 817 Linear Stability of Convection in a Viscoelastic Nanofluid Layer

**Authors:**
Long Jye Sheu

**Abstract:**

**Keywords:**
instability,
viscoelastic,
nanofluids,
oscillatory,
Brownian,
thermophoresis

##### 816 Boundary Layer Flow of a Casson Nanofluid past a Vertical Exponentially Stretching Cylinder in the Presence of a Transverse Magnetic Field with Internal Heat Generation/Absorption

**Authors:**
G. Sarojamma,
K. Vendabai

**Abstract:**

An analysis is carried out to investigate the effect of magnetic field and heat source on the steady boundary layer flow and heat transfer of a Casson nanofluid over a vertical cylinder stretching exponentially along its radial direction. Using a similarity transformation, the governing mathematical equations, with the boundary conditions are reduced to a system of coupled, non –linear ordinary differential equations. The resulting system is solved numerically by the fourth order Runge – Kutta scheme with shooting technique. The influence of various physical parameters such as Reynolds number, Prandtl number, magnetic field, Brownian motion parameter, thermophoresis parameter, Lewis number and the natural convection parameter are presented graphically and discussed for non – dimensional velocity, temperature and nanoparticle volume fraction. Numerical data for the skin – friction coefficient, local Nusselt number and the local Sherwood number have been tabulated for various parametric conditions. It is found that the local Nusselt number is a decreasing function of Brownian motion parameter Nb and the thermophoresis parameter Nt.

**Keywords:**
Casson nanofluid,
Boundary layer flow,
Internal heat
generation/absorption,
Exponentially stretching cylinder,
Heat
transfer,
Brownian motion,
Thermophoresis.

##### 815 Numerical Approach to a Mathematical Modeling of Bioconvection Due to Gyrotactic Micro-Organisms over a Nonlinear Inclined Stretching Sheet

**Authors:**
Madhu Aneja,
Sapna Sharma

**Abstract:**

**Keywords:**
Bioconvection,
inclined stretching sheet,
Gyrotactic
micro-organisms,
Brownian motion,
thermophoresis,
finite element
method.

##### 814 Fractional Masks Based On Generalized Fractional Differential Operator for Image Denoising

**Authors:**
Hamid A. Jalab,
Rabha W. Ibrahim

**Abstract:**

This paper introduces an image denoising algorithm based on generalized Srivastava-Owa fractional differential operator for removing Gaussian noise in digital images. The structures of nxn fractional masks are constructed by this algorithm. Experiments show that, the capability of the denoising algorithm by fractional differential-based approach appears efficient to smooth the Gaussian noisy images for different noisy levels. The denoising performance is measured by using peak signal to noise ratio (PSNR) for the denoising images. The results showed an improved performance (higher PSNR values) when compared with standard Gaussian smoothing filter.

**Keywords:**
Fractional calculus,
fractional differential operator,
fractional mask,
fractional filter.

##### 813 Fractional Order Feedback Control of a Ball and Beam System

**Authors:**
Santosh Kr. Choudhary

**Abstract:**

In this paper, fractional order feedback control of a ball beam model is investigated. The ball beam model is a particular example of the double Integrator system having strongly nonlinear characteristics and unstable dynamics which make the control of such system a challenging task. Most of the work in fractional order control systems are in theoretical nature and controller design and its implementation in practice is very small. In this work, a successful attempt has been made to design a fractional order PIλDμcontroller for a benchmark laboratory ball and beam model. Better performance can be achieved using a fractional order PID controller and it is demonstrated through simulations results with a comparison to the classic PID controller.

**Keywords:**
Fractional order calculus,
fractional order controller,
fractional order system,
ball and beam system,
PIλDμ controller,
modelling,
simulation.

##### 812 Existence of Iterative Cauchy Fractional Differential Equation

**Authors:**
Rabha W. Ibrahim

**Abstract:**

Our main aim in this paper is to use the technique of non expansive operators to more general iterative and non iterative fractional differential equations (Cauchy type ). The non integer case is taken in sense of Riemann-Liouville fractional operators. Applications are illustrated.

**Keywords:**
Fractional calculus,
fractional differential equation,
Cauchy equation,
Riemann-Liouville fractional operators,
Volterra
integral equation,
non-expansive mapping,
iterative differential equation.

##### 811 Stability of Interval Fractional-order Systems with Order 0 < α < 1

**Authors:**
Hong Li,
Shou-ming Zhong,
Hou-biao Li

**Abstract:**

In this paper, some brief sufficient conditions for the stability of FO-LTI systems dαx(t) dtα = Ax(t) with the fractional order are investigated when the matrix A and the fractional order α are uncertain or both α and A are uncertain, respectively. In addition, we also relate the stability of a fractional-order system with order 0 < α ≤ 1 to the stability of its equivalent fractional-order system with order 1 ≤ β < 2, the relationship between α and β is presented. Finally, a numeric experiment is given to demonstrate the effectiveness of our results.

**Keywords:**
Interval fractional-order systems,
linear matrix inequality (LMI),
asymptotical stability.

##### 810 Relation between Roots and Tangent Lines of Function in Fractional Dimensions: A Method for Optimization Problems

**Authors:**
Ali Dorostkar

**Abstract:**

In this paper, a basic schematic of fractional dimensional optimization problem is presented. As will be shown, a method is performed based on a relation between roots and tangent lines of function in fractional dimensions for an arbitrary initial point. It is shown that for each polynomial function with order N at least N tangent lines must be existed in fractional dimensions of 0 < α < N+1 which pass exactly through the all roots of the proposed function. Geometrical analysis of tangent lines in fractional dimensions is also presented to clarify more intuitively the proposed method. Results show that with an appropriate selection of fractional dimensions, we can directly find the roots. Method is presented for giving a different direction of optimization problems by the use of fractional dimensions.

**Keywords:**
Tangent line,
fractional dimension,
root,
optimization problem.

##### 809 A Framework of Monte Carlo Simulation for Examining the Uncertainty-Investment Relationship

**Authors:**
George Yungchih Wang

**Abstract:**

**Keywords:**
real options,
geometric Brownian motion,
mixeddiffusion-jump process,
mean- reverting process,
jump amplitudeprocess

##### 808 Lyapunov Type Inequalities for Fractional Impulsive Hamiltonian Systems

**Authors:**
Kazem Ghanbari,
Yousef Gholami

**Abstract:**

**Keywords:**
Fractional derivatives and integrals,
Hamiltonian
system,
Lyapunov type inequalities,
stability,
disconjugacy.

##### 807 Effect of Time-Periodic Boundary Temperature on the Onset of Nanofluid Convection in a Layer of a Saturated Porous Medium

**Authors:**
J.C. Umavathi

**Abstract:**

The linear stability of nanofluid convection in a horizontal porous layer is examined theoretically when the walls of the porous layer are subjected to time-periodic temperature modulation. The model used for the nanofluid incorporates the effects of Brownian motion and thermopherosis, while the Darcy model is used for the porous medium. The analysis revels that for a typical nanofluid (with large Lewis number) the prime effect of the nanofluids is via a buoyancy effect coupled with the conservation of nanoparticles. The contribution of nanoparticles to the thermal energy equation being a second-order effect. It is found that the critical thermal Rayleigh number can be found reduced or decreased by a substantial amount, depending on whether the basic nanoparticle distribution is top-heavy or bottom-heavy. Oscillatory instability is possible in the case of a bottom-heavy nanoparticle distribution, phase angle and frequency of modulation.

**Keywords:**
Brownian motion and thermophoresis,
Porous medium,
Nanofluid,
Natural convection,
Thermal modulation.

##### 806 Application of Fractional Model Predictive Control to Thermal System

**Authors:**
Aymen Rhouma,
Khaled Hcheichi,
Sami Hafsi

**Abstract:**

The article presents an application of Fractional Model Predictive Control (FMPC) to a fractional order thermal system using Controlled Auto Regressive Integrated Moving Average (CARIMA) model obtained by discretization of a continuous fractional differential equation. Moreover, the output deviation approach is exploited to design the K -step ahead output predictor, and the corresponding control law is obtained by solving a quadratic cost function. Experiment results onto a thermal system are presented to emphasize the performances and the effectiveness of the proposed predictive controller*.*

**Keywords:**
Fractional model predictive control,
fractional order systems,
thermal system.

##### 805 Realization of Fractional-Order Capacitors with Field-Effect Transistors

**Authors:**
Steve Hung-Lung Tu,
Yu-Hsuan Cheng

**Abstract:**

**Keywords:**
Fractional-order,
field-effect transistors,
RC
transmission lines.

##### 804 Observer Based Control of a Class of Nonlinear Fractional Order Systems using LMI

**Authors:**
Elham Amini Boroujeni,
Hamid Reza Momeni

**Abstract:**

**Keywords:**
Fractional order calculus,
Fractional order observer,
Linear matrix inequality,
Nonlinear Systems,
Observer based
Controller.

##### 803 A Design of Fractional-Order PI Controller with Error Compensation

**Authors:**
Mazidah Tajjudin,
Norhashim Mohd Arshad,
Ramli Adnan

**Abstract:**

Fractional-order controller was proven to perform better than the integer-order controller. However, the absence of a pole at origin produced marginal error in fractional-order control system. This study demonstrated the enhancement of the fractionalorder PI over the integer-order PI in a steam temperature control. The fractional-order controller was cascaded with an error compensator comprised of a very small zero and a pole at origin to produce a zero steady-state error for the closed-loop system. Some modification on the error compensator was suggested for different order fractional integrator that can improve the overall phase margin.

**Keywords:**
Fractional-order PI,
Ziegler-Nichols tuning,
Oustaloup's Recursive Approximation,
steam temperature control.

##### 802 Some Remarks About Riemann-Liouville and Caputo Impulsive Fractional Calculus

**Authors:**
M. De la Sen

**Abstract:**

**Keywords:**
Rimann- Liouville fractional calculus,
Caputofractional derivative,
Dirac delta,
Distributional derivatives,
Highorderdistributional derivatives.

##### 801 Oil Displacement by Water in Hauterivian Sandstone Reservoir of Kashkari Oil Field

**Authors:**
A. J. Nazari,
S. Honma

**Abstract:**

This paper evaluates oil displacement by water in Hauterivian sandstone reservoir of Kashkari oil field in North of Afghanistan. The core samples of this oil field were taken out from well No-21^{st}, and the relative permeability and fractional flow are analyzed. Steady state flow laboratory experiments are performed to empirically obtain the fractional flow curves and relative permeability in different water saturation ratio. The relative permeability represents the simultaneous flow behavior in the reservoir. The fractional flow approach describes the individual phases as fractional of the total flow. The fractional flow curve interprets oil displacement by water, and from the tangent of fractional flow curve can find out the average saturation behind the water front flow saturation. Therefore, relative permeability and fractional flow curves are suitable for describing the displacement of oil by water in a petroleum reservoir. The effects of irreducible water saturation, residual oil saturation on the displaceable amount of oil are investigated through Buckley-Leveret analysis.

**Keywords:**
Fractional flow,
oil displacement,
relative permeability,
simultaneously flow.

##### 800 An Efficient Hamiltonian for Discrete Fractional Fourier Transform

**Authors:**
Sukrit Shankar,
Pardha Saradhi K.,
Chetana Shanta Patsa,
Jaydev Sharma

**Abstract:**

**Keywords:**
Fractional Fourier Transform,
Hamiltonian,
Eigen
Vectors,
Discrete Hermite Gaussians.