Uncertain Fractional Differential Equations Research Articles

New analysis of fuzzy fractional Langevin differential equations in Caputo's derivative sense

<abstract> <p>The extraction of analytical solution of uncertain fractional Langevin differential equations involving two independent fractional-order is frequently complex and difficult. As a result, developing a proper and comprehensive technique for the solution of this problem is very essential. In this article, we determine the explicit and analytical fuzzy solution for various classes of the fuzzy fractional Langevin differential equations (FFLDEs) with two independent fractional-orders both in homogeneous and non-homogeneous cases. The potential solution of FFLDEs is also extracted using the fuzzy Laplace transformation technique. Furthermore, the solution of FFLDEs is defined in terms of bivariate and trivariate Mittag-Leffler functions both in the general and special forms. FFLDEs are a new topic having many applications in science and engineering then to grasp the novelty of this work, we connect FFLDEs with RLC electrical circuit to visualize and support the theoretical results.</p></abstract>

Existence and uniqueness of solutions to uncertain fractional switched systems with an uncertain stock model

In this paper, an uncertain fractional switched system is a fractional switched system disturbed by subjective uncertainty, which can be written by Caputo type of uncertain fractional differential equations. Few results concerning uncertain fractional systems were published before. To fill this gap, the property of solutions to uncertain fractional switched systems with finite-time horizon is investigated in depth. Based on two conditions called linear growth condition and Lipschitz condition, an existence and uniqueness theorem of solutions is proposed for the uncertain fractional switched systems, and the strict demonstration is given for the theorem in terms of uncertainty theory and Banach fixed point theorem. Finally, an uncertain stock model is proposed and analyzed to illustrate the effectiveness of the results obtained.

Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market

Uncertain fractional differential equations (UFDEs) have non-locality features to reflect memory and hereditary characteristics for the asset price changes, thus are more suitable to model the real financial market. Based on this characteristic, this paper primarily investigates the monotonicity theorem for uncertain fractional differential equations in Caputo sense and its application. Firstly, monotonicity theorems for solutions of UFDEs are presented by using the α-path method. Secondly, as the application of the monotone function theorem, a novel uncertain fractional mean-reverting model with a floating interest rate is presented. Lastly, the pricing formulas of the European and American options are derived for the proposed model based on the monotone function and present extreme values and time integral theorems, respectively. In addition, numerical schemes are designed, and numerical calculations are illustrated concerning different parameters through the predictor–corrector method.

Solutions of linear uncertain fractional order neutral differential equations

Uncertain fractional order neutral differential equation is an important model to describe the evolution process of uncertain dynamical system. This paper devotes to studying linear uncertain fractional order neutral differential equations. After providing the analytic solutions for linear uncertain fractional order neutral differential equations by the Mittag-Leffler function, the author investigates the inverse uncertainty distribution of the solution to linear uncertain fractional order neutral differential equation by the α-path and has a discussion of the dependence of the solution on initial function based on the generalized Gronwall inequality.

On Caputo-Hadamard uncertain fractional differential equations

Abstract The tool of uncertain fractional differential equations (UFDEs) is devoted to describing the behavior of complex systems with memory effects in the uncertain environment. In this paper, we mainly investigate the Caputo-Hadamard UFDEs. First, the definition of Caputo-Hadamard UFDE is proposed and the analytical solution to a linear Caputo-Hadamard UFDE is provided. Then, an existence and uniqueness theorem of solution to Caputo-Hadamard UFDE is studied.

STABILITY ANALYSIS OF NONLINEAR UNCERTAIN FRACTIONAL DIFFERENTIAL EQUATIONS WITH CAPUTO DERIVATIVE

Uncertain fractional differential equation driven by Liu process plays a significant role in depicting the memory effects of uncertain dynamical systems. This paper mainly investigates the stability problems for the Caputo type of uncertain fractional differential equations with the order [Formula: see text]. The concept of stability in measure of solutions to uncertain fractional differential equation is proposed based on uncertainty theory. Several sufficient conditions for ensuring the stability of the solutions are derived, respectively, in which the systems are divided into two cases with order [Formula: see text] and [Formula: see text]. Some illustrative examples are performed to display the effectiveness of the proposed results.

Option pricing formulas based on uncertain fractional differential equation

Uncertain fractional differential equations have been playing an important role in modelling complex dynamic systems. Early researchers have presented the extreme value theorems and time integral theorem on uncertain fractional differential equation. As applications of these theorems, this paper investigates the pricing problems of American option and Asian option under uncertain financial markets based on uncertain fractional differential equations. Then the analytical solutions and numerical solutions of these option prices are derived, respectively. Finally, some numerical experiments are performed to verify the effectiveness of our results.

Critical Value-Based Power Options Pricing Problems in Uncertain Financial Markets

Compared with investing an ordinary options, investing the power options may possibly yield greater returns. On the one hand, the power option is the best choice for those who want to maximize the leverage of the underlying market movements. On the other hand, power options can also prevent the financial market changes caused by the sharp fluctuations of the underlying assets. In this paper, we investigate the power option pricing problem in which the price of the underlying asset follows the Ornstein–Uhlenbeck type of model involving an uncertain fractional differential equation. Based on critical value criterion, the pricing formulas of European power options are derived. Finally, some numerical experiments are performed to illustrate the results.

Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type

Abstract This paper mainly studies the pricing problem of arithmetic average Asian barrier options in the continuous case and analyzes the corresponding reliability index. Owing to the fact that the return function of the option is closely related to the average price of the underlying asset in a certain period, which can effectively alleviate the market speculation, the Asian barrier option is widely active in the financial market as a derivative product. Firstly, considering that there exists difficult to predict and measure reliability based on historical data, traditional stock models relied on stochastic theory are abandoned, and further assumes that the underlying assets follow an uncertain process. Then, we introduce the uncertain fractional differential equations with Caputo-type to describe the dynamic changes of risky asset prices. Secondly, in order to analyze the impact on the first hitting time of the barrier being triggered and the option execution result theoretically, a novel first-hitting time model is established to measure the relationship between the option reliability index and the value of risky assets. Meanwhile, the pricing formulas of four Asian barrier options and the corresponding reliability index under the first-hitting time model are derived, respectively. Finally, numerical algorithms and corresponding methods are designed to verify the results of our model.

First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model

Uncertain fractional differential equation with memory and hereditary characteristics is a useful way to better model the uncertain dynamic system. Firstly, the solution of an uncertain fractional differential equation with the Caputo type is considered and uncertain distributions of their first hitting time is investigated. On the basis of the α-path, two different first hitting time theorems for uncertain distributions are proposed. Secondly, by the predictor-corrector method, the numerical method is designed. A nonlinear example is provided for validating the availability of the proposed algorithm. Then, as an application of the first hitting time, a novel uncertain risk index model is presented and a formula of risk index under our model is derived accordingly. Lastly, the numerical algorithm of risk index is designed and numerical calculations for the risk index are illustrated with regard to different parameters.

Fixed Point Theorems Applied in Uncertain Fractional Differential Equation with Jump

No previous study has involved uncertain fractional differential equation (FDE, for short) with jump. In this paper, we propose the uncertain FDEs with jump, which is driven by both an uncertain V-jump process and an uncertain canonical process. First of all, for the one-dimensional case, we give two types of uncertain FDEs with jump that are symmetric in terms of form. The next, for the multidimensional case, when the coefficients of the equations satisfy Lipschitz condition and linear growth condition, we establish an existence and uniqueness theorems of uncertain FDEs with jump of Riemann-Liouville type by Banach fixed point theorem. A symmetric proof in terms of form is suitable to the Caputo type. When the coefficients do not satisfy the Lipschitz condition and linear growth condition, we just prove an existence theorem of the Caputo type equation by Schauder fixed point theorem. In the end, we present an application about uncertain interest rate model.

Time integral about solution of an uncertain fractional order differential equation and application to zero-coupon bond model

Uncertain fractional order differential equation is a significant tool for modeling the uncertain dynamic system. First, we consider solutions of an uncertain fractional order differential equation with the Caputo type and investigate inverse uncertain distributions of their time integral. On the basis of α-path, two different time integral theorems for inverse uncertain distributions are given. Second, in uncertain financial markets, the interest rate is considered as an uncertain process. As the application of the time integral, we present a novel zero-coupon bond model and derive a pricing formula of zero-coupon bond under this model. Last, by the predictor-corrector method, the numerical algorithm is designed. Analytic expressions and numerical calculations of the zero-coupon bond price are illustrated for fractional order mean-reverting model and standard deviation model, respectively.

Continuous dependence of uncertain fractional differential equations with Caputo’s derivative

Uncertain fractional differential equation driven by Liu process plays an important role in describing uncertain dynamic systems. This paper investigates the continuous dependence of solution on the parameters and initial values, respectively, for uncertain fractional differential equations involving the Caputo fractional derivative in measure sense. Several continuous dependence theorems are obtained based on uncertainty theory by employing the generalized Gronwall inequality, in which the coefficients of uncertain fractional differential equation are required to satisfy the Lipschitz conditions. Several illustrative examples are provided to verify the validity of the obtained results.

Valuation of interest rate ceiling and floor based on the uncertain fractional differential equation in Caputo sense

As an economic lever in financial market, interest rate option is not only the function of facilitating the bank to adjust the market fund supply and demand relation indirectly, but also provides the guarantee for investors to choose whether to exercise the right at the maturity date, thereby locking in the interest rate risk. This paper mainly studies the price of the interest rate ceiling as well as floor under the uncertain environment. Firstly, from the perspective of expert reliability, rather than relying on a large amount of historical financial data, to consider interest rate trends, and further assume that the dynamic change of the interest rate conforms to the uncertain process. Secondly, since uncertain fractional-order differential equations (UFDEs) have non-locality features to reflect memory and hereditary characteristics for the asset price changes, thus is more suitable to model the real financial market. We construct the mean-reverting interest rate model based on the UFDE in Caputo type. Then, the pricing formula of the interest rate ceiling and floor are provided separately. Finally, corresponding numerical examples and algorithms are given by using the predictor-corrector method, which support the validity of the proposed model.

On the Novel Finite-Time Stability Results for Uncertain Fractional Delay Differential Equations Involving Noninstantaneous Impulses

In this paper, we mainly study the finite-time stability for a kind of uncertain fractional-order delay differential equations with noninstantaneous impulses. By using the Lyapunov functions along with the generalized Grönwall inequality, we present the new stability results for the considered equations. Finally, two examples are given to demonstrate the effectiveness of our theoretical results.

Extreme values for solution to uncertain fractional differential equation and application to American option pricing model

Uncertain fractional differential equation plays an important role of describing uncertain dynamic process. This paper focuses on extreme values (including supremum and infimum) for solution to an uncertain fractional differential equation for the Caputo type. Theorems for the inverse uncertain distributions of the extreme values are given based on the definition of α-path. And then, numerical algorithms for them are designed, numerical examples are shown for validating the availability about algorithms. The absolute errors between the numerical and analytical results are also presented to demonstrate the accuracy of the algorithms. Finally, as an application of the extreme values, an uncertain stock model is proposed on the basis of uncertain fractional differential equation of the Caputo type. The American option pricing formulas of such stock model are studied by using the proposed extreme theorems. Besides, numerical calculations are also illustrated with respect to different parameters p.

Uncertain fractional differential equations on a time scale under Granular differentiability concept

In this work, the Caputo q-fractional initial value problem of order $$\alpha \in (0,1)$$ in uncertain environment is investigated. The uncertainties are considered as possibility sets using fuzzy sets. The concepts of horizontal membership function and granular difference are used to give a new definition for fuzzy fractional integral and derivative, called granular Riemann–Liouville q-fractional integral and granular Caputo q-fractional derivative. The existence and uniqueness of solution for the Caputo q-fractional initial value problem under granular differentiability concept is established. Finally, some illustrative examples are also presented.

Critical value-based Asian option pricing model for uncertain financial markets

Asian option has become one of the most popular financial derivatives in the OTC (Over-the-Counter) market due to its low risk and cost. The option pricing problem which regards the price of the underlying asset as a random variable has been extensively studied based on the sufficient historical data. It may be modeled as an uncertain variable when the historical data is lack. This paper investigates the Asian option pricing problem based on uncertainty theory, in which the price of the underlying asset follows the mean-reverting process involving an uncertain fractional differential equation. The pricing formulas of the Asian options are derived based on the expected value and optimistic value. Some numerical experiments are performed to illustrate the results.

European option pricing model based on uncertain fractional differential equation

In this paper, we investigate a new version of stock model under uncertain circumstances for uncertain stock markets. Firstly, solutions to some uncertain fractional differential equations are presented by employing the Mittag-Leffler function. Then, a new uncertain stock model with mean-reverting process is formulated on the basis of uncertain fractional differential equations. Finally, European option pricing formulas based on the proposed model are investigated as well as some numerical examples.

Numerical approach for solution to an uncertain fractional differential equation

Uncertain fractional differential equation (UFDE) is of importance tool for the description of uncertain dynamic systems. Generally we may not obtain its analytic solutions in most cases. This paper focuses on proposing a numerical method for solving UFDE involving Caputo derivative. First, the concept of α-path to an UFDE with initial value conditions is introduced, which is a solution of the corresponding fractional differential equation (FDE) involving with the same initial value conditions. Then the relations between its solution and associate α-path are investigated. Besides, a formula is derived for calculating expected value of a monotonic function with respect to solutions of UFDEs. Based on the established relations, numerical algorithms are designed. Finally, some numerical experiments of nonlinear UFDEs are given to demonstrate the effectiveness of the numerical algorithms.