In dieser Arbeit setzen wir uns mit der Ph.D. Thesis von Luis Silvestre auseinander, in welcher er das Hindernisproblem für den gebrochenen Laplace Operator behandelt hat. Das Ziel war es seine Arbeit nachzuvollziehen und seine Beweise vollständig auszuformulieren. Dabei haben wir uns auf die Existenz der Lösung und erste Regularitätsresultate beschränkt.

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We introduce a notion of non-local perimeter which is defined through an arbitrary positive Borel measure on Rᵈ which integrates the function 1 ∧ |x|. Such definition of non-local perimeter encompasses a wide range of perimeters which have been already studied in the literature, including fractional perimeters and anisotropic fractional perimeters. The main part of the article is devoted to the study of the asymptotic behaviour of non-local perimeters. As direct applications we recover well-known convergence results for fractional perimeters and anisotropic fractional perimeters.

Disertační práce se zabývá syntézou a analýzou nových obvodových struktur neceločíselného (fraktálního) řádu s řiditelnými parametry. Hlavní cíl této práce je návrh nových řešení filtračních struktur fraktálního řádu v proudovém módu, emulátorů prvků fraktálního řádu a také oscilátorů. Práce obsahuje návrh tří emulátorů pasivního prvku fraktálního řádu, tři filtrační struktury a dva oscilátory navržené na základě využití pasivního prvku fraktálního řádu v jejich obvodové struktuře a dvě obecné koncepce filtrů fraktálního řádu založené na využití aproximace přenosové funkce fraktálního řádu. Na základě obecných koncepcí jsou v práci navrženy filtry fraktálního řádu typu dolní a horní propust. Díky aktivním prvkům s přeladitelnými parametry, které jsou užity v obvodových strukturách je zajištěna řiditelnost řádu filtru, jeho pólového kmitočtu a některých případech i činitele jakosti. Vlastnosti všech zapojení jsou ověřeny počítačovými simulacemi za pomoci behavioralních simulačních modelů aktivních prvků. Některé z uvedených obvodů byly realizovány na DPS a jejich vlastnosti ověřeny experimentálním měřením.

Linear Evolution Equations (LEE) have been studied extensively over many years. Their extension in the field of fractional calculus have been defined by Dαu(x, t) = Au(x, t), where α is the fractional order and Dα is a generalized differential operator. Two types of generalized differential operators were applied to the LEE in the state-of-the-art, producing the Riemann-Liouville and the Caputo time fractional evolution equations. However the extension of the new Caputo-Fabrizio derivative (CFFD) to these equations has not been developed. This work investigates existing fractional derivative evolution equations and analyze the generalized linear evolution equations with non-singular ker- nel derivative. The well-posedness of the extended CFFD linear evolution equation is demonstrated by proving the existence of a solution, the uniqueness of the existing solu- tion, and finally the continuous dependence of the behavior of the solution on the data and parameters. Extended evolution equations with CFFD are applied to kinetics, heat diffusion and dispersion of shallow water waves using MATLAB simulation software for validation purpose. / Mathematical Science / M Sc. (Applied Mathematics)

Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probability and Mathematical Statistics Supervisor: prof. RNDr. Bohdan Maslowski, DrSc., Charles University in Prague, Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics. Abstract: In the present master thesis we study a generalization of Black-Scholes model using fractional Brownian motion and jump processes. The main goal is a derivation of the price of call option in a fractional jump market model. The first chapter introduces long memory and its modelling by discrete and continuous time models. In the second chapter fractional Brownian motion is defined, appropriate stochastic analysis is developed and we generalize the notion of Lévy and jump processes. The third chapter introduces fractional Black-Scholes model. In the fourth chapter, tools developed in the second chapter are used for the construction of jump fractional Black-Scholes model and derivation of explicit formula for the price of european call option. In the fifth chapter, we analyze long memory contained in simulated and empirical time series. Keywords: Black-Scholes model, fractional Brownian motion, fractional jump process, long- memory, options pricing.

To a large extent mathematical transforms are applied on a signal to uncover information that is concealed, and the capability of such transforms is valuable for signal processing. One such transforms widely used in this area, is the conventional Fourier Transform (FT), which decomposes a stationary signal into different frequency components. However, a major drawback of the conventional transform is that it does not easily render itself to the analysis of non-stationary signals such as a frequency modulated (FM) or amplitude modulated (AM) signal. The different frequency components of complex signals cannot be easily distinguished and separated from one another using the conventional FT. So in this thesis an innovative mathematical transform, Fractional Fourier Transform (FRFT), has been considered, which is more suitable to process non-stationary signals such as FM signals and has the capability not only of distinguishing different frequency components of a multi-component signal but also separating them in a proper domain, different than the traditional time or frequency domain. The discrete-time FRFT (DFRFT) developed along with its derivatives, such as Multi-angle-DFRFT (MA-DFRFT), Slanted Spectrum and Spectrogram Based on Slanted Spectrum (SBSS) are tools belonging to the same FRFT family, and they could provide an effective approach to identify unknown signals and distinguish the different frequency components contained therein. Both artificial stationary and FM signals have been researched using the DFRFT and some derivative tools from the same family. Moreover, to accomplish a contrast with the traditional tools such as FFT and STFT, performance comparisons are shown to support the DFRFT as an effective tool in multi-component chirp signal analysis. The DFRFT taken at the optimum transform order on a single-component FM signal has provided higher degree of signal energy concentration compared to FFT results; and the Slanted Spectrum taken along the slant line obtained from the MA-DFRFT demonstration has shown much better discrimination between different frequency components of a multi-component FM signal. As a practical application of these tools, the motor current signal has been analyzed using the DFRFT and other tools from FRFT family to detect the presence of a motor bearing fault and obtain the fault signature frequency. The conclusion drawn about the applicability of DFRFT and other derivative tools on AM signals with very slowly varying FM phenomena was not encouraging. Tools from the FRFT family appear more effective on FM signals, whereas AM signals are more effectively analyzed using traditional methods like spectrogram or its derivatives. Such methods are able to identify the signature frequency of faults while using less computational time and memory.

Estimation of the self-similarity exponent has attracted growing interest in recent decades and became a research subject in various fields and disciplines. Real-world data exhibiting self-similar behavior and/or parametrized by self-similarity exponent (in particular Hurst exponent) have been collected in different fields ranging from finance and human sciencies to hydrologic and traffic networks. Such rich classes of possible applications obligates researchers to investigate qualitatively new methods for estimation of the self-similarity exponent as well as identification of long-range dependencies (or long memory). In this thesis I present the Bayesian estimation of the Hurst exponent. In contrast to previous methods, the Bayesian approach allows the possibility to calculate the point estimator and confidence intervals at the same time, bringing significant advantages in data-analysis as discussed in this thesis. Moreover, it is also applicable to short data and unevenly sampled data, thus broadening the range of systems where the estimation of the Hurst exponent is possible. Taking into account that one of the substantial classes of great interest in modeling is the class of Gaussian self-similar processes, this thesis considers the realizations of the processes of fractional Brownian motion and fractional Gaussian noise. Additionally, applications to real-world data, such as the data of water level of the Nile River and fixational eye movements are also discussed. / Die Abschätzung des Selbstähnlichkeitsexponenten hat in den letzten Jahr-zehnten an Aufmerksamkeit gewonnen und ist in vielen wissenschaftlichen Gebieten und Disziplinen zu einem intensiven Forschungsthema geworden. Reelle Daten, die selbsähnliches Verhalten zeigen und/oder durch den Selbstähnlichkeitsexponenten (insbesondere durch den Hurst-Exponenten) parametrisiert werden, wurden in verschiedenen Gebieten gesammelt, die von Finanzwissenschaften über Humanwissenschaften bis zu Netzwerken in der Hydrologie und dem Verkehr reichen. Diese reiche Anzahl an möglichen Anwendungen verlangt von Forschern, neue Methoden zu entwickeln, um den Selbstähnlichkeitsexponenten abzuschätzen, sowie großskalige Abhängigkeiten zu erkennen. In dieser Arbeit stelle ich die Bayessche Schätzung des Hurst-Exponenten vor. Im Unterschied zu früheren Methoden, erlaubt die Bayessche Herangehensweise die Berechnung von Punktschätzungen zusammen mit Konfidenzintervallen, was von bedeutendem Vorteil in der Datenanalyse ist, wie in der Arbeit diskutiert wird. Zudem ist diese Methode anwendbar auf kurze und unregelmäßig verteilte Datensätze, wodurch die Auswahl der möglichen Anwendung, wo der Hurst-Exponent geschätzt werden soll, stark erweitert wird. Unter Berücksichtigung der Tatsache, dass der Gauß'sche selbstähnliche Prozess von bedeutender Interesse in der Modellierung ist, werden in dieser Arbeit Realisierungen der Prozesse der fraktionalen Brown'schen Bewegung und des fraktionalen Gauß'schen Rauschens untersucht. Zusätzlich werden Anwendungen auf reelle Daten, wie Wasserstände des Nil und fixierte Augenbewegungen, diskutiert.

Recently there have been reports that certain physiological data seem to have the properties of long-range correlation and self-similarity. These two properties can be characterized by a long-range dependent parameter d, as well as a self-similar parameter H. In Peng et al (1995), the alteration of long-range correlations with life-threatening pathologies are studied by analyzing the heart rate data of different groups of subjects. The self-similarity properties of two well-known processes, namely the Fractional Brownian Motion (FBM) and the Fractional ARIMA (FARIMA), are of interest to see if it is suitable to be used to model the heart rate data in order to examine the health conditions of some patients. The Embedded Branching Process (EBP) method for estimating parameter $H$ and a goodness of fit test for examining the self-similarity of a process based on the EBP method are proposed in Jones and Shen (2004). In this work, the performance of the goodness of fit test are examined using simulated data from the FBM and FARIMA processes. A modification of the distribution of the test statistics under null hypothesis is proposed and has been modified to be more appropriate. Some simulation comparisons of different estimation methods of the parameter $H$ for some FARIMA processes are also presented and applied to heart rate data obtained from Kaohsiung Veterans General Hospital.

La spectroscopie d'intrication, initialement introduite par Li et Haldane dans le contexte de l'effet Hall quantique fractionnaire, a suscité un large éventail de travaux. Le spectre d'intrication est le spectre de la matrice de densité réduite, quand on partitionne le système en deux. Pour de nombreux systèmes quantiques, il révèle une caractéristique unique : calculé uniquement à partir de la fonction d'onde de l'état fondamental, le spectre d'intrication donne accès à la physique des excitations de bord. Dans ce manuscrit, nous donnons un apercu de la spectroscopie d'intrication. Nous introduisons les concepts de base dans le cas des chaînes de spins quantiques. Nous présentons une étude approfondie des spectres d'intrication appliqués aux phases de l'effet Hall quantique fractionnaire, montrant quel type d'information est encodé dans l'état fondamental et comment les différentes facons de partitionner le système permettent de sonder différents types d'excitation. Comme application pratique de cette technique, nous discutons de la manière dont cette technique peut aider à faire la distinction entre les différentes phases qui émergent dans les isolants de Chern en interaction forte.