Search Results (5)

This paper investigates a class of distributed fractional-order stochastic differential equations driven by fractional Brownian motion with a Hurst parameter $1/2<H<1$. By employing the Picard iteration method, we rigorously prove the existence and uniqueness of solutions with Lipschitz conditions. Furthermore, leveraging the Girsanov transformation argument within the $L^2$ metric framework, we derive quadratic transportation inequalities for the law of the strong solution to the considered equations. These results provide a deeper understanding of the regularity and probabilistic properties of the solutions in this framework. Full article

In this paper, an efficient prediction model based on the fractional generalized Pareto motion (fGPm) with Long-Range Dependent (LRD) and infinite variance characteristics is proposed. Firstly, we discuss the meaning of each parameter of the generalized Pareto distribution (GPD), and the LRD characteristics of the generalized Pareto motion are analyzed by taking into account the heavy-tailed characteristics of its distribution. Then, the mathematical relationship $H=1⁄\alpha$ between the self-similar parameter $H$ and the tail parameter α is obtained. Also, the generalized Pareto increment distribution is obtained using statistical methods, which offers the subsequent derivation of the iterative forecasting model based on the increment form. Secondly, the tail parameter $\alpha$ is introduced to generalize the integral expression of the fractional Brownian motion, and the integral expression of fGPm is obtained. Then, by discretizing the integral expression of fGPm, the statistical characteristics of infinite variance is shown. In addition, in order to study the LRD prediction characteristic of fGPm, LRD and self-similarity analysis are performed on fGPm, and the LRD prediction conditions $H>1⁄\alpha$ is obtained. Compared to the fractional Brownian motion describing LRD by a self-similar parameter $H$, fGPm introduces the tail parameter $\alpha$, which increases the flexibility of the LRD description. However, the two parameters are not independent, because of the LRD condition $H>1⁄\alpha$. An iterative prediction model is obtained from the Langevin-type stochastic differential equation driven by fGPm. The prediction model inherits the LRD condition $H>1⁄\alpha$ of fGPm and the time series, simulated by the Monte Carlo method, shows the superiority of the prediction model to predict data with high jumps. Finally, this paper uses power load data in two different situations (weekdays and weekends), used to verify the validity and general applicability of the forecasting model, which is compared with the fractional Brown prediction model, highlighting the “high jump data prediction advantage” of the fGPm prediction model. Full article

The primary task of the design and feasibility study for the use of wind power plants is to predict changes in wind speeds at the site of power system installation. The stochastic nature of the wind and spatio-temporal variability explains the high complexity of this problem, associated with finding the best mathematical modeling which satisfies the best solution for this problem. In the known discrete models based on Markov chains, the autoregressive-moving average does not allow variance in the time step, which does not allow their use for simulation of operating modes of wind turbines and wind energy systems. The article proposes and tests a SDE-based model for generating synthetic wind speed data using the stochastic differential equation of the fractional Ornstein-Uhlenbeck process with periodic function of long-run mean. The model allows generating wind speed trajectories with a given autocorrelation, required statistical distribution and provides the incorporation of daily and seasonal variations. Compared to the standard Ornstein-Uhlenbeck process driven by ordinary Brownian motion, the fractional model used in this study allows one to generate synthetic wind speed trajectories which autocorrelation function decays according to a power law that more closely matches the hourly autocorrelation of actual data. In order to demonstrate the capabilities of this model, a number of simulations were carried out using model parameters estimated from actual observation data of wind speed collected at 518 weather stations located throughout Russia. Full article

In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long-range memory phenomenon in physical, economic, and other social complex systems. Our group has shown that the long-range memory phenomenon can be reproduced using various Markov processes, such as point processes, stochastic differential equations, and agent-based models—reproduced well enough to match other statistical properties of the financial markets, such as return and trading activity distributions and first-passage time distributions. Research has lead us to question whether the observed long-range memory is a result of the actual long-range memory process or just a consequence of the non-linearity of Markov processes. As our most recent result, we discuss the long-range memory of the order flow data in the financial markets and other social systems from the perspective of the fractional Lèvy stable motion. We test widely used long-range memory estimators on discrete fractional Lèvy stable motion represented by the auto-regressive fractionally integrated moving average (ARFIMA) sample series. Our newly obtained results seem to indicate that new estimators of self-similarity and long-range memory for analyzing systems with non-Gaussian distributions have to be developed. Full article

The electric power characteristic of solid oxide fuel cells (SOFCs) depends on numerous influencing factors. These are the mass flow of supplied hydrogen, the temperature distribution in the interior of the fuel cell stack, the temperatures of the supplied reaction media at the anode and cathode, and—most importantly—the electric current. Describing all of these dependencies by means of analytic system models is almost impossible. Therefore, it is reasonable to identify these dependencies by means of stochastic filter techniques. One possible option is the use of Kalman filters to find locally valid approximations of the power characteristics. These can then be employed for numerous online purposes of dynamically operated fuel cells such as maximum power point tracking or the maximization of the fuel efficiency. In the latter case, it has to be ensured that the fuel cell operation is restricted to the regime of Ohmic polarization. This aspect is crucial to avoid fuel starvation phenomena which may not only lead to an inefficient system operation but also to accelerated degradation. In this paper, a Kalman filter-based, real-time implementable optimization of the fuel efficiency is proposed for SOFCs which accounts for the aforementioned feasibility constraints. Essentially, the proposed strategy consists of two phases. First, the parameters of an approximation of the electric power characteristic are estimated. The measurable arguments of this function are the hydrogen mass flow and the electric stack current. In a second stage, these inputs are optimized so that a desired stack power is attained in an optimal way. Simulation results are presented which show the robustness of the proposed technique against inaccuracies in the a-priori knowledge about the power characteristics. For a numerical validation, three different models of the electric power characteristic are considered: (i) a static neural network input/output model, (ii) a first-order dynamic system representation and (iii) the combination of a static neural network model with a low-order fractional differential equation model representing transient phases during changes between different electric operating points. Full article