Modeling of financial processes with a space-time fractional diffusion equation of varying order

DOI10.1515/FCA-2016-0073zbMATH Open1354.91178OpenAlexW2566489497MaRDI QIDQ501519FDOQ501519

Authors: Jan Korbel, Yuri Luchko 

Publication date: 9 January 2017

Published in: Fractional Calculus \ Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/fca-2016-0073

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zbMATH Keywords

option pricingCaputo fractional derivativespace-time fractional diffusion equationfinancial modelingRiesz-Feller fractional derivative

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Derivative securities (option pricing, hedging, etc.) (91G20) Economic time series analysis (91B84) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Fractional derivatives and integrals (26A33) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cites Work

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Cited In (29)

• Concept of dynamic memory in economics
• Dynamic intersectoral models with power-law memory
• Applications of Hilfer-Prabhakar operator to option pricing financial model
• Fractional-order PD control at Hopf bifurcations in delayed fractional-order small-world networks
• Dynamics of an fractional SEIR epidemic model with infectivity in latent period and general nonlinear incidence rate
• Macroeconomic models with long dynamic memory: fractional calculus approach
• Fractional Chebyshev deep neural network (FCDNN) for solving differential models
• ANALYSIS OF FRACTIONAL DIFFUSION MODELS IN FINANCE
• RECOVERY OF THE TEMPERATURE DISTRIBUTION IN A MULTILAYER FRACTIONAL DIFFUSION EQUATION
• Numerical learning approximation of time-fractional sub diffusion model on a semi-infinite domain
• Initial boundary value problems for space-time fractional conformable differential equation
• The second boundary value problem in a half-strip for a \(B\)-parabolic equation with the Gerasimov-Caputo time derivative
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• Fractional calculus in economic growth modelling of the group of seven
• Transitions between superstatistical regimes: validity, breakdown and applications
• Dynamic optimal control at Hopf bifurcation of a Newman-Watts model of small-world networks via a new \(PD^{\frac{1}{n}}\) scheme
• Fast second-order implicit difference schemes for time distributed-order and Riesz space fractional diffusion-wave equations
• Fast numerical scheme for the time-fractional option pricing model with asset-price-dependent variable order
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• UNIQUE SOLVABILITY OF IBVP FOR PSEUDO-SUBDIFFUSION EQUATION WITH HILFER FRACTIONAL DERIVATIVE ON A METRIC GRAPH
• Analysis of fractional order error models in adaptive systems: mixed order cases
• Too much regularity may force too much uniqueness
• Phillips model with exponentially distributed lag and power-law memory
• On the solutions of fractional-time wave equation with memory effect involving operators with regular kernel
• Option pricing under the subordinated market models
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion
• Cagan model of inflation with power-law memory effects
• The RBF partition of unity method for a 2D time-fractional parabolic equation
• Maximum principle and its application to multi-index Hadamard fractional diffusion equation

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