• Bulletin of the Korean Mathematical Society
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• v.55 no.4
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• pp.1241-1261
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• 2018

We derive discrete time model of the geometric fractional Brownian motion. It provides numerical pricing scheme of financial derivatives when the market is driven by geometric fractional Brownian motion. With the convergence analysis, we guarantee the convergence of Monte Carlo simulations. The strong convergence rate of our scheme has order H which is Hurst parameter. To obtain our model we need to convert Wick product term of stochastic differential equation into Wick free discrete equation through Malliavin calculus but ours does not include Malliavin derivative term. Finally, we include several numerical experiments for the option pricing.

• Journal of the Korean Mathematical Society
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• v.57 no.6
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• pp.1347-1372
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• 2020

We study bifurcation for the following fractional Schrödinger equation $$\{\left.\begin{eqnarray}(-{\Delta})^su+V(x)u&=&{\lambda}f(u)&&{\text{in}}\;{\Omega}\\u&>&0&&{\text{in}}\;{\Omega}\\u&=&0&&{\hspace{32}}{\text{in}}\;{\mathbb{R}}^n{\backslash}{\Omega}\end{eqnarray}\right$$ where 0 < s < 1, n > 2s, Ω is a bounded smooth domain of ℝⁿ, (-∆)^s is the fractional Laplacian of order s, V is the potential energy satisfying suitable assumptions and λ is a positive real parameter. The nonlinear term f is a positive nondecreasing convex function, asymptotically linear that is $\lim_{t{\rightarrow}+{\infty}}\;{\frac{f(t)}{t}}=a{\in}(0,+{\infty})$. We discuss the existence, uniqueness and stability of a positive solution and we also prove the existence of critical value and the uniqueness of extremal solutions. We take into account the types of Bifurcation problem for a class of quasilinear fractional Schrödinger equations, we also establish the asymptotic behavior of the solution around the bifurcation point.

• The Journal of the Korea institute of electronic communication sciences
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• v.12 no.5
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• pp.977-982
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• 2017

Recently, the effort that converge the sport and ICT continues together with developing ICT. The game is a representative example. The digital sport is developing as mixed type that are composed with sport and digital such as screen golf and screen bowling. The addiction problem exist in the digital sport like the addiction problem exist in general sport. In this paper, we propose the addiction model in the digital sport as fractional-order. We represent time series and phase portrait for nonlinear behavior from proposed fractional-order model and we confirms the difference between them.

• Steel and Composite Structures
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• v.45 no.3
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• pp.409-423
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• 2022

Nowadays, there is a high demand for great structural implementation and multifunctionality with excellent mechanical properties. The porous structures reinforced by graphene platelets (GPLs) having valuable properties, such as heat resistance, lightweight, and excellent energy absorption, have been considerably used in different engineering implementations. However, stiffness of porous structures reduces significantly, due to the internal cavities, by adding GPLs into porous medium, effective mechanical properties of the porous structure considerably enhance. This paper is relating to vibration analysis of fluidconveying cantilever porous graphene platelet reinforced (GPLR) pipe with fractional viscoelastic model resting on foundations. A dynamical model of cantilever porous GPLR pipes conveying fluid and resting on a foundation is proposed, and the vibration, natural frequencies and primary resonant of such a system are explored. The pipe body is considered to be composed of GPLR viscoelastic polymeric pipe with porosity in which Halpin-Tsai scheme in conjunction with the fractional viscoelastic model is used to govern the construction relation of nanocomposite pipe. Three different porosity distributions through the pipe thickness are introduced. The harmonic concentrated force is also applied to the pipe and the excitation frequency is close to the first natural frequency. The governing equation for transverse motions of the pipe is derived by the Hamilton principle and then discretized by the Galerkin procedure. In order to obtain the frequency-response equation, the differential equation is solved with the assumption of small displacement, damping coefficient, and excitation amplitude by the multiple scale method. A parametric sensitivity analysis is carried out to reveal the influence of different parameters, such as nanocomposite pipe properties, fluid velocity and nonlinear viscoelastic foundation coefficients, on the primary resonance and linear natural frequency. Results indicate that the GPLs weight fraction porosity coefficient, fractional derivative order and the retardation time have substantial influences on the dynamic response of the system.

• Steel and Composite Structures
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• v.50 no.2
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• pp.201-216
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• 2024

This paper is motivated by the lack of studies relating to vibration and nonlinear resonance of fluid-conveying cantilever porous GPLR pipes with fractional viscoelastic model resting on nonlinear foundations. A dynamical model of cantilever porous Graphene Platelet Reinforced (GPLR) pipes conveying fluid and resting on nonlinear foundation is proposed, and the vibration, natural frequencies and primary resonant of such system are explored. The pipe body is considered to be composed of GPLR viscoelastic polymeric pipe with porosity in which Halpin-Tsai scheme in conjunction with fractional viscoelastic model is used to govern the construction relation of the nanocomposite pipe. Three different porosity distributions through the pipe thickness are introduced. The harmonic concentrated force is also applied on pipe and excitation frequency is close to the first natural frequency. The governing equation for transverse motion of the pipe is derived by the Hamilton principle and then discretized by the Galerkin procedure. In order to obtain the frequency-response equation, the differential equation is solved with the assumption of small displacement, damping coefficient, and excitation amplitude by the multiple scale method. A parametric sensitivity analysis is carried out to reveal the influence of different parameters, such as nanocomposite pipe properties, fluid velocity and nonlinear viscoelastic foundation coefficients, on the primary resonance and linear natural frequency. Results indicate that the GPLs weight fraction porosity coefficient, fractional derivative order and the retardation time have substantial influences on the dynamic response of the system.

• Journal of Applied and Pure Mathematics
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• v.4 no.3_4
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• pp.107-122
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• 2022

This manuscript aims to investigate the existence, uniqueness, and stability of non-local random impulsive neutral stochastic differential time delay equations (NRINSDEs) with Poisson jumps. First, we prove the existence of mild solutions to this equation using the Banach fixed point theorem. Next, we demonstrate the stability via continuous dependence initial value. Our study extends the work of Wang, and Wu [16] where the time delay is addressed by the prescribed phase space 𝓑 (defined in Section 3). To illustrate the theory, we also provide an example of our methods. Using our results, one could investigate the controllability of random impulsive neutral stochastic differential equations with finite/infinite states. Moreover, one could extend this study to analyze the controllability of fractional-order of NRINSDEs with Poisson jumps as well.

• Journal of the Chungcheong Mathematical Society
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• v.33 no.1
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• pp.165-171
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• 2020

In this paper we consider a mixed fractional Brownian motion (mfBm) with jumps. The prices of European barrier options can be evaluated by solving a partial integro-differential equation (PIDE) with variable coefficients, which is derived from the mfBm with jumps. The 2-step backward differentiation formula (BDF2 method) proposed in [6] is applied with the second-order convergence rate in the time and spatial variables. Numerical simulations are carried out to observe the convergence behaviors of the BDF2 method under the mfBm with the Kou model.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.16 no.3
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• pp.193-204
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• 2012

This paper is comparing numerical schemes for a differential equation with convection and fourth-order diffusion. Our model equation is $h_t+(h^2-h^3)_x=-(h^3h_{xxx})_x$, which arises in the context of thin film flow driven the competing effects of an induced surface tension gradient and gravity. These films arise in thin coating flows and are of great technical and scientific interest. Here we focus on the several numerical methods to apply the model equation and the comparison and analysis of the numerical results. The convection terms are treated with well known WENO methods and the diffusion term is treated implicitly. The diffusion and convection schemes are combined using a fractional step-splitting method.