Francesco Mainardi

Fractals and Fractional Calculus in Continuum Mechanics

A. Carpinteri: Self-Similarity and Fractality in Microcrack Coalescence and Solid Rupture.- B. Chiaia: Experimental Determination of the Fractal Dimension of Microcrack Patterns and Fracture Surfaces.- P.D. Panagiotopoulos, O.K. Panagouli: Fractal Geometry in Contact Mechanics and Numerical Applications.- R. Lenormand: Fractals and Porous Media: from Pore to Geological Scales.- R. Gorenflo, F. Mainardi: Fractional Calculus: Integral and Differential Equations of Fractional Order.- R. Gorenflo: Fractional Calculus: some Numerical Methods.- F. Mainardi: Fractional Calculus: some Basic Problems in Continuum and Statistical Mechanics.

Fractional Relaxation-Oscillation and Fractional Diffusion-Wave Phenomena

Abstract The processes involving the basic phenomena of relaxation, diffusion, oscillations and wave propagation are of great relevance in physics; from a mathematical point of view they are known to be governed by simple differential equations of order 1 and 2 in time. The introduction of fractional derivatives of order α in time, with 0

Fractional calculus and continuous-time finance

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Levy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of financial time series. Predictions on the long-time behaviour of the waiting-time probability density are presented. Finally, a general scaling form is given, based on the solution of the fractional diffusion equation.

A new dissipation model based on memory mechanism

SummaryThe model of dissipation based on memory introduced by Caputo is generalized and checked with experimental dissipation curves of various materials.

The fundamental solutions for the fractional diffusion-wave equation

Abstract The time fractional diffusion-wave equation is obtained from the classical diffusion or wave equation by replacing the first- or second-order time derivative by a fractional derivative of order 2β with 0 1 2 or 1 2 , respectively. Using the method of the Laplace transform, it is shown that the fundamental solutions of the basic Cauchy and Signalling problems can be expressed in terms of an auxiliary function M(z;β), where z = |x| t β is the similarity variable. Such function is proved to be an entire function of Wright type.

On Mittag-Leffler-type functions in fractional evolution processes

Abstract We review a variety of fractional evolution processes (so defined being governed by equations of fractional order), whose solutions turn out to be related to Mittag-Leffler-type functions. The chosen equations are the simplest of the fractional calculus and include the Abel integral equations of the second kind, which are relevant in typical inverse problems, and the fractional differential equations, which govern generalized relaxation and oscillation phenomena.

Waiting-times and returns in high-frequency financial data: an empirical study

In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, traded at NYSE, in October 1999. These properties are critically revised in the framework of theoretical predictions based on a continuous-time random walk model.

Time Fractional Diffusion: A Discrete Random Walk Approach

The time fractional diffusion equation is obtained from the standarddiffusion equation by replacing the first-order time derivative with afractional derivative of order β ∋ (0, 1). From a physicalview-point this generalized diffusion equation is obtained from afractional Fick law which describes transport processes with longmemory. The fundamental solution for the Cauchy problem is interpretedas a probability density of a self-similar non-Markovian stochasticprocess related to a phenomenon of slow anomalous diffusion. By adoptinga suitable finite-difference scheme of solution, we generate discretemodels of random walk suitable for simulating random variables whosespatial probability density evolves in time according to this fractionaldiffusion equation.

Discrete random walk models for space-time fractional diffusion

Abstract A physical–mathematical approach to anomalous diffusion may be based on generalized diffusion equations (containing derivatives of fractional order in space or/and time) and related random walk models. By space–time fractional diffusion equation we mean an evolution equation obtained from the standard linear diffusion equation by replacing the second-order space derivative with a Riesz–Feller derivative of order α∈(0,2] and skewness θ (|θ|⩽min{α,2−α}), and the first-order time derivative with a Caputo derivative of order β∈(0,1]. Such evolution equation implies for the flux a fractional Fick’s law which accounts for spatial and temporal non-locality. The fundamental solution (for the Cauchy problem) of the fractional diffusion equation can be interpreted as a probability density evolving in time of a peculiar self-similar stochastic process that we view as a generalized diffusion process. By adopting appropriate finite-difference schemes of solution, we generate models of random walk discrete in space and time suitable for simulating random variables whose spatial probability density evolves in time according to this fractional diffusion equation.

Wright functions as scale-invariant solutions of the diffusion-wave equation

The time-fractional diffusion-wave equation is obtained from the classical diffusion or wave equation by replacing the first- or second-order time derivative by a fractional derivative of order α (0 <α ≤ 2). Using the similarity method and the method of the Laplace transform, it is shown that the scale-invariant solutions of the mixed problem of signalling type for the time-fractional diffusion-wave equation are given in terms of the Wright function in the case 0 <α< 1 and in terms of the generalized Wright function in the case 1 <α< 2. The reduced equation for the scale-invariant solutions is given in terms of the Caputo type modification of the