• 대한수학회보
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• 제55권4호
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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.

• Steel and Composite Structures
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• 제24권3호
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• pp.297-307
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• 2017

A unified mathematical model of phase-lag Green-Naghdi magneto-thermoelasticty theories based on fractional derivative heat transfer for perfectly conducting media in the presence of a constant magnetic field is given. The GN theories as well as the theories of coupled and of generalized magneto-thermoelasticity with thermal relaxation follow as limit cases. The resulting nondimensional coupled equations together with the Laplace transforms techniques are applied to a half space, which is assumed to be traction free and subjected to a thermal shock that is a function of time. The inverse transforms are obtained by using a numerical method based on Fourier expansion techniques. The predictions of the theory are discussed and compared with those for the generalized theory of magneto-thermoelasticity with one relaxation time. The effects of Alfven velocity and the fractional order parameter on copper-like material are discussed in different types of GN theories.

• Nonlinear Functional Analysis and Applications
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• 제28권2호
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• pp.537-555
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• 2023

In this paper, we consider two types of fractional boundary value problems, one of them is an implicit type and the other will be an integro-differential type with nonlocal integral multi-point boundary conditions in the frame of generalized Hilfer fractional derivatives. The existence and uniqueness results are acquired by applying Krasnoselskii's and Banach's fixed point theorems. Some various numerical examples are provided to illustrate and validate our results. Moreover, we get some results in the literature as a special case of our current results.

• 대한기계학회:학술대회논문집
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• 대한기계학회 2001년도 춘계학술대회논문집E
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• pp.404-409
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• 2001

An account of second-order fractional-step methods and boundary conditions for the incompressible Navier-Stokes equations is presented. The present work has aimed at (i) identification and analysis of all possible splitting methods of second-order splitting accuracy; and (ii) determination of consistent boundary conditions that yield second-order accurate solutions. It has been found that only three types (D, P and M) of splitting methods called the canonical methods are non-degenerate so that all other second-order splitting schemes are either degenerate or equivalent to them. Investigation of the properties of the canonical methods indicates that a method of type D is recommended for computations in which the zero divergence is preferred, while a method of type P is better suited to the cases when highly-accurate pressure is more desirable. The consistent boundary conditions on the tentative velocity and pressure have been determined by a procedure that consists of approximation of the split equations and the boundary limit of the result. The pressure boundary condition is independent of the type of fractional-step methods. The consistent boundary conditions on the tentative velocity were determined in terms of the natural boundary condition and derivatives of quantities available at the current timestep (to be evaluated by extrapolation). Second-order fractional-step methods that admit the zero pressure-gradient boundary condition have been derived. The boundary condition on the new tentative velocity becomes greatly simplified due to improved accuracy built in the transformation.

• Structural Engineering and Mechanics
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• 제63권2호
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• pp.181-193
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• 2017

An identification method for determination of the parameters of the rheological models of dampers made of viscoelastic material is presented. The models have two, three or four parameters and the model equations of motion contain derivatives of the fractional order. The results of dynamical experiments are approximated using the trigonometric function in the first part of the procedure while the model parameters are determined as the solution to an appropriately defined optimization problem. The particle swarm optimization method is used to solve the optimization problem. The validity and effectiveness of the suggested identification method have been tested using artificial data and a set of real experimental data describing the dynamic behavior of damper and a fluid frequently used in dampers. The influence of a range of excitation frequencies used in experiments on results of identification is also discussed.

• Nonlinear Functional Analysis and Applications
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• 제28권2호
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• pp.473-495
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• 2023

The use of mathematical modelling in the study of epidemiological disorders continues to grow substantially. In order to better support global policy initiatives and explain the possible consequence of an outbreak, mathematical models were constructed to forecast how epidemic illnesses spread. In this paper, fractional derivatives and (${\varpi}$ - F_𝓒)-contractions are used to explore the existence and uniqueness solutions of the novel coronavirus-19 model.

• Nonlinear Functional Analysis and Applications
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• 제29권2호
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• pp.597-620
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• 2024

In this study, the conformable fractional derivative(CFD) of order 𝝔 in conjunction with the LC operator of orderρ is used to develop the model of the transmission of the A(H1N1) influenza infection. A brand-new A(H1N1) influenza infection model is presented, with a population split into four different compartments. Fixed point theorems were used to prove the existence of the solutions and uniqueness of this model. The basic reproduction number R₀ was determined. The least and most sensitive variables that could alter R₀ were then determined using normalized forward sensitivity indices. Through numerical simulations carried out with the aid of the Adams-Moulton approach, the study also investigated the effects of numerous biological characteristics on the system. The findings demonstrated that if 𝝔 < 1 and ρ < 1 under the CFD, also the findings demonstrated that if 𝝔 = 1 and ρ = 1 under the CFD, the A(H1N1) influenza infection will not vanish.