Fractional randomness

Charles S. Tapiero and Pierre Vallois

Physica A: Statistical Mechanics and its Applications, 2016, vol. 462, issue C, 1161-1177

Abstract: The premise of this paper is that a fractional probability distribution is based on fractional operators and the fractional (Hurst) index used that alters the classical setting of random variables. For example, a random variable defined by its density function might not have a fractional density function defined in its conventional sense. Practically, it implies that a distribution’s granularity defined by a fractional kernel may have properties that differ due to the fractional index used and the fractional calculus applied to define it. The purpose of this paper is to consider an application of fractional calculus to define the fractional density function of a random variable. In addition, we provide and prove a number of results, defining the functional forms of these distributions as well as their existence. In particular, we define fractional probability distributions for increasing and decreasing functions that are right continuous. Examples are used to motivate the usefulness of a statistical approach to fractional calculus and its application to economic and financial problems. In conclusion, this paper is a preliminary attempt to construct statistical fractional models. Due to the breadth and the extent of such problems, this paper may be considered as an initial attempt to do so.

Keywords: Fractional calculus; Randomness; Modeling; Finance; Statistics; Hurst index (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:462:y:2016:i:c:p:1161-1177

DOI: 10.1016/j.physa.2016.05.053

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