Search Results (4)

The generalized mixed fractional Brownian motion (gmfBm) is a Gaussian process with stationary increments that exhibits long-range dependence controlled by its Hurst indices. It is defined by taking linear combinations of a finite number of independent fractional Brownian motions with different Hurst indices. In this paper, we investigate the long-time behavior of gmfBm when it is time-changed by a tempered stable subordinator or a gamma process. As a main result, we show that the time-changed process exhibits a long-range dependence property under some conditions on the Hurst indices. The time-changed gmfBm can be used to model natural phenomena that exhibit long-range dependence, even when the underlying process is not itself long-range dependent. Full article

This study aims to learn more about how the flow of a power-law nanofluid’s mixed bio-convective stagnation point flow approaching a stretchable surface behaves with the presence of a passively controlled boundary condition. The governing equations incorporate the motile bacterium and nanoparticles, and the current model includes Brownian motion and thermophoresis effects. The governing equations are transformed into ordinary differential equations, which are then numerically solved using the Runge–KuttaFehlberg (RKF) with the shooting technique. The controlling parameters are chosen as follows: the velocity ratio parameter, ε, is taken between 0.1 and 1.5; the mixed convection parameter, λ, is considered in the range 0–3; the buoyancy ratio parameter is considered in the range between 0.1 and 4; the bio-convection parameter, Rb, is taken in the range 0–1; nanofluid parameters are taken in the range 0.1–0.7; the bioconvection Schmidt number is considered in the range 0.1–3; the Prandtl number is taken between 1–4; and the Schmidt number is taken between 1 and 3. The Nusselt number, skin friction, and nanoparticle volume fraction profiles are shown graphically to observe the impact of several parameters under consideration. Both the Schmidt number and the Brownian motion parameter are shown to significantly increase the Sherwood number. Thermophoresis, however, has been proven to lower the Sherwood number. Furthermore, the bioconvection constant and Peclet number both help to slow down the rate of mass transfer. The presented theoretical investigation has a considerable role in engineering, where nanofluid flow is applied to organize a bioconvection process to develop power generation and mechanical energy. One of the more essential features of bioconvection is the aggregation of nanoparticles with motile microorganisms requested to augment the stability, heat, and mass transmission. Full article

Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability density for such a model is less studied in the literature. We show in this paper a bridge representation for the joint density of the lognormal fractional SABR model in a Fourier space. Evaluating the bridge representation along a properly chosen deterministic path yields a small time asymptotic expansion to the leading order for the probability density of the fractional SABR model. A direct generalization of the representation of joint density often leads to a heuristic derivation of the large deviations principle for joint density in a small time. Approximation of implied volatility is readily obtained by applying the Laplace asymptotic formula to the call or put prices and comparing coefficients. Full article

A new expression for the dielectrophoresis (DEP) force is derived from the electrical work in a charge-cycle model that allows the field-free transition of a single object between the centers of two adjacent cubic volumes in an inhomogeneous field. The charging work for the capacities of the volumes is calculated in the absence and in the presence of the object using the external permittivity and Maxwell-Wagner’s mixing equation, respectively. The model provides additional terms for the Clausius-Mossotti factor, which vanish for the mathematical boundary transition toward zero volume fraction, but which can be interesting for narrow microfluidic systems. The comparison with the classical solution provides a new perspective on the notorious problem of electrostatic modeling of AC electrokinetic effects in lossy media and gives insight into the relationships between active, reactive, and apparent power in DEP force generation. DEP moves more highly polarizable media to locations with a higher field, making a DEP-related increase in the overall polarizability of suspensions intuitive. Calculations of the passage of single objects through a chain of cubic volumes show increased overall effective polarizability in the system for both positive and negative DEP. Therefore, it is proposed that DEP be considered a conditioned polarization mechanism, even if it is slow with respect to the field oscillation. The DEP-induced changes in permittivity and conductivity describe the increase in the overall energy dissipation in the DEP systems consistent with the law of maximum entropy production. Thermodynamics can help explain DEP accumulation of small objects below the limits of Brownian motion. Full article