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Numerical pricing of European options under time-fractional Black-Scholes equation in financial markets. 金融市场中时间分数Black-Scholes方程下欧式期权的数值定价。
IF 3.2 2区 数学
Chaos Pub Date : 2025-08-01 DOI: 10.1063/5.0269370
Arvind Kumar Mishra, Lalchand Verma, Omid Nikan, Mahboubeh Molavi-Arabshahi
{"title":"Numerical pricing of European options under time-fractional Black-Scholes equation in financial markets.","authors":"Arvind Kumar Mishra, Lalchand Verma, Omid Nikan, Mahboubeh Molavi-Arabshahi","doi":"10.1063/5.0269370","DOIUrl":"https://doi.org/10.1063/5.0269370","url":null,"abstract":"<p><p>The time-fractional Black-Scholes model (TFBSM) incorporating a Caputo derivative operator is developed to analyze price dynamics in fractal market systems with correlated fluctuations. This paper focuses on developing a numerical approach to derive an approximate solution for the TFBSM of order 0<α<1 in problems related to European options using the Legendre collocation technique. The primary advantage of this method is that the function is approximated with shifted Legendre polynomials in both space and time directions, using fewer nodal points for improved results. Moreover, a detailed discussion on the error analysis of the proposed method is provided. Finally, three numerical examples are presented to validate the precision of the proposed strategy.</p>","PeriodicalId":9974,"journal":{"name":"Chaos","volume":"35 8","pages":""},"PeriodicalIF":3.2,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144854737","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Regularization of a conceptual model for Dansgaard-Oeschger events. Dansgaard-Oeschger事件概念模型的正则化。
IF 3.2 2区 数学
Chaos Pub Date : 2025-08-01 DOI: 10.1063/5.0244302
Bryony Hobden, Peter Ashwin, Paul D L Ritchie
{"title":"Regularization of a conceptual model for Dansgaard-Oeschger events.","authors":"Bryony Hobden, Peter Ashwin, Paul D L Ritchie","doi":"10.1063/5.0244302","DOIUrl":"https://doi.org/10.1063/5.0244302","url":null,"abstract":"<p><p>The Dansgaard-Oeschger events are sudden and irregular warmings of the North Atlantic region that occurred during the last glacial period. A key characteristic of these events is a rapid shift to warmer conditions (interstadial), followed by a slower cooling toward a colder climate (stadial), resulting in a saw-tooth pattern in regional proxy temperature records. These events occurred many times during the last 100 000 years and have been hypothesized to result from various mechanisms, including millennial variability of the ocean circulation and/or nonlinear interactions between ocean circulation and other processes. Our starting point is a non-autonomous, conceptual, but process-based, model of Boers et al. [Proc. Natl. Acad. Sci. 115, E11005-E11014 (2018)] that includes a slowly varying non-autonomous forcing represented by reconstructed global mean temperatures. This model can reproduce Dansgaard-Oeschger events in terms of shape, amplitude, and frequency to a reasonable degree. However, the model of Boers et al. has instantaneous switches between different sea-ice evolution mechanisms on crossing thresholds and, therefore, cannot show early warning signals of the onset or offset of these warming events. In this paper, we regularize this model by adding a fast dynamic variable so that the switching occurs smoothly and in finite time. This means the model has the potential to show early warning signals for sudden changes. However, the additional fast timescale means these early warning signals may have short time horizons. Nonetheless, we find some evidence of early warning for the transition between slow and rapid cooling for the model.</p>","PeriodicalId":9974,"journal":{"name":"Chaos","volume":"35 8","pages":""},"PeriodicalIF":3.2,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144793532","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quantum particle statistics in classical shallow water waves. 经典浅水波浪中的量子粒子统计。
IF 3.2 2区 数学
Chaos Pub Date : 2025-08-01 DOI: 10.1063/5.0263305
Idan Ceausu, Yuval Dagan
{"title":"Quantum particle statistics in classical shallow water waves.","authors":"Idan Ceausu, Yuval Dagan","doi":"10.1063/5.0263305","DOIUrl":"https://doi.org/10.1063/5.0263305","url":null,"abstract":"<p><p>We present a new hydrodynamic analogy of nonrelativistic quantum particles in potential wells. Similarities between a real variant of the Schrödinger equation and gravity-capillary shallow water waves are reported and analyzed. We show that when locally oscillating particles are guided by real wave gradients, particles may exhibit trajectories of alternating periodic or chaotic dynamics while increasing the wave potential. The particle probability distribution function of this analogy reveals the quantum statistics of the standard solutions of the Schrödinger equation and thus manifests as a classical deterministic interpretation of Born's rule. Finally, a classical mechanism for the transition between quasi-stationary states is proposed.</p>","PeriodicalId":9974,"journal":{"name":"Chaos","volume":"35 8","pages":""},"PeriodicalIF":3.2,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144944800","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Phase chimera states: Frozen patterns of disorder. 相嵌合体状态:混乱的冻结模式。
IF 3.2 2区 数学
Chaos Pub Date : 2025-08-01 DOI: 10.1063/5.0275286
E R Zajdela, D M Abrams
{"title":"Phase chimera states: Frozen patterns of disorder.","authors":"E R Zajdela, D M Abrams","doi":"10.1063/5.0275286","DOIUrl":"https://doi.org/10.1063/5.0275286","url":null,"abstract":"<p><p>Coupled oscillators can serve as a testbed for larger questions of pattern formation across many areas of science and engineering. Much effort has been dedicated to the Kuramoto model and phase oscillators, but less has focused on oscillators with variable amplitudes. Here, we examine the simplest such oscillators-Stuart-Landau oscillators-and attempt to elucidate some puzzling dynamics observed in simulation by us and others. We demonstrate the existence and stability of a previously unreported state which we call a \"phase chimera state.\" Remarkably, in this state, the amplitudes of all oscillators are identical, but one subset of oscillators phase-locks while another subset remains incoherent in phase. We also show that this state can take the form of a \"multitailed phase chimera state\" where a single phase-synchronous cluster of oscillators coexists with multiple groups of phase-incoherent oscillators.</p>","PeriodicalId":9974,"journal":{"name":"Chaos","volume":"35 8","pages":""},"PeriodicalIF":3.2,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144944826","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Task-specific node pruning enhances computational efficiency of reservoir computing networks. 针对特定任务的节点修剪提高了库计算网络的计算效率。
IF 3.2 2区 数学
Chaos Pub Date : 2025-08-01 DOI: 10.1063/5.0273535
Manish Yadav, Merten Stender
{"title":"Task-specific node pruning enhances computational efficiency of reservoir computing networks.","authors":"Manish Yadav, Merten Stender","doi":"10.1063/5.0273535","DOIUrl":"https://doi.org/10.1063/5.0273535","url":null,"abstract":"<p><p>The relationship between a reservoir network structure and the overall performance of a reservoir computer remains an unanswered question, particularly when searching for an optimal yet small network. In this study, we introduce a systematic, task-specific node-pruning framework that enhances the efficiency while decreasing the size of the reservoir networks. We demonstrate that large networks can be compressed while preserving-or even improving-performance by node removal. Our findings reveal the emergence of optimal subnetwork structures from larger Erdös-Rényi random networks, indicating that efficiency is governed not merely by size but by topological organization. We observe that the pruning process enhances the reservoir's structural efficiency by forming a self-organized asymmetric distribution of input-receiving and readout nodes, with significant changes in key graph-theoretic measures, such as consistent decreases in spectral radius and average degree. Interestingly, the best-performing pruned networks exhibited significantly lower linear memory capacities over the initial networks, which often did not align with the memory demands of the respective tasks. We show that pruning leads to non-uniform network refinements, where specific nodes and connectivity patterns become critical for information flow and task-specific memory retention. This work offers fundamental insights into how structural optimization influences reservoir dynamics, providing a pathway toward designing more efficient, scalable, and interpretable machine learning architectures.</p>","PeriodicalId":9974,"journal":{"name":"Chaos","volume":"35 8","pages":""},"PeriodicalIF":3.2,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144834263","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamical analysis and solutions of coupled 4D fractional differential systems with applications to predictability limit quantification in ocean-atmosphere models. 耦合四维分数微分系统的动力学分析和解及其在海洋-大气模式可预测性极限量化中的应用。
IF 3.2 2区 数学
Chaos Pub Date : 2025-08-01 DOI: 10.1063/5.0283492
Xiaoyu Chen, Hongtao Fan, Yajing Li
{"title":"Dynamical analysis and solutions of coupled 4D fractional differential systems with applications to predictability limit quantification in ocean-atmosphere models.","authors":"Xiaoyu Chen, Hongtao Fan, Yajing Li","doi":"10.1063/5.0283492","DOIUrl":"https://doi.org/10.1063/5.0283492","url":null,"abstract":"<p><p>For coupled two-dimensional fractional differential systems, a new two-step fractional-order Runge-Kutta method is proposed in this paper, which can reach a convergence order of 2α, with α being the fractional-order number. Further, we extend the two-step fractional-order Runge-Kutta algorithm to any coupled n-dimensional fractional differential system while maintaining convergence and consistency. To demonstrate the validity of the proposed method, numerical experiments are given for a four-dimensional fractional Lorenz system, and the dynamics of the four-dimensional fractional Lorenz system is analyzed using Lyapunov characteristic exponents, bifurcation diagrams, chaos diagrams, and C0 complexity. The results demonstrate that the system exhibits a diverse dynamical behavior and a broader range of fractional orders [0.43, 1] is accessible to the periodic orbit at the same parameter, compared to previous findings [He et al., Math. Methods Appl. Sci. 39, 2965-2973 (2016)]. Finally, we use global attractor radius and attractor radius to investigate the predictability of the coupled fractional-order ocean-atmosphere system [Li et al., Clim. Dyn. 51, 2359-2374 (2018)]. The results show that both global attractor radius and attractor radius decrease with decreasing fractional order, and the smaller the initial perturbation, the longer it takes to reach the attractor radius, but the attractor radius to the global attractor radius is not significantly correlated with the initial perturbation. These findings suggest that the predictability of the coupled fractional ocean-atmosphere system is limited by the presence of long-range memory effects captured in the fractional-order differential equations. By offering quantitative assessments of predictability, these approaches enhance our understanding of the intricate dynamics within such systems and can support informed decision-making in addressing and mitigating the effects of climate change on the global atmosphere and oceans.</p>","PeriodicalId":9974,"journal":{"name":"Chaos","volume":"35 8","pages":""},"PeriodicalIF":3.2,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144764641","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic analysis of a generalized attention deficit disorder model with Soboleva activation functions. 具有Soboleva激活函数的广义注意缺陷障碍模型的动态分析。
IF 3.2 2区 数学
Chaos Pub Date : 2025-08-01 DOI: 10.1063/5.0280557
L Moysis, M Lawnik, K F Kollias, M S Baptista, S Goudos, G Fragulis
{"title":"Dynamic analysis of a generalized attention deficit disorder model with Soboleva activation functions.","authors":"L Moysis, M Lawnik, K F Kollias, M S Baptista, S Goudos, G Fragulis","doi":"10.1063/5.0280557","DOIUrl":"https://doi.org/10.1063/5.0280557","url":null,"abstract":"<p><p>This work studies a modified chaotic neural network model consisting of two neurons for modeling attention deficit disorder. Considering an existing one-dimensional model from the literature, its two activation functions are replaced by the Soboleva hyperbolic tangent function. This change introduces four new control parameters to the system. The effect of these parameters on the system is extensively studied through a collection of phase, bifurcation, and Lyapunov exponent diagrams. Changing each of these parameters brings changes to the model's behavior, so the modified model is a significant generalization of the original one. Many phenomena are observed, including period doubling route to chaos, period halving route to period-1, crisis, antimonotonicity, coexisting attractors, and shrimps. The newly introduced degrees of freedom could provide a new direction toward modeling behavioral disorders using different activation functions.</p>","PeriodicalId":9974,"journal":{"name":"Chaos","volume":"35 8","pages":""},"PeriodicalIF":3.2,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144764640","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Recurrence condensation during critical transitions in complex systems. 复杂系统临界跃迁过程中的重复凝聚。
IF 3.2 2区 数学
Chaos Pub Date : 2025-08-01 DOI: 10.1063/5.0267157
Manaswini Jella, Induja Pavithran, Vishnu R Unni, Norbert Marwan, Jürgen Kurths, R I Sujith
{"title":"Recurrence condensation during critical transitions in complex systems.","authors":"Manaswini Jella, Induja Pavithran, Vishnu R Unni, Norbert Marwan, Jürgen Kurths, R I Sujith","doi":"10.1063/5.0267157","DOIUrl":"https://doi.org/10.1063/5.0267157","url":null,"abstract":"<p><p>Critical transitions in complex systems pose challenges for the healthy functioning of natural and engineered systems, sometimes with catastrophic outcomes. These critical points, where small changes cause large regime shifts, are difficult to detect-especially in noisy, high-dimensional settings. We investigate such a transition from chaotic to periodic oscillations via intermittency in a turbulent fluid mechanical system by using recurrence analysis. Recurrence plots (RPs) constructed from the time series of a state variable reveal a distinct progression from disordered, short broken diagonal lines to patches of ordered short diagonal lines and, ultimately, to a pattern of long continuous diagonal lines. This evolution in the recurrence patterns captures a transition from dynamics involving multiple time scales to a dominant single time scale; we term this phenomenon \"recurrence condensation.\" We quantify recurrence condensation using recurrence quantification measures, such as the recurrence time, determinism, entropy, laminarity, and trapping time, all of which show collapse to a single dominant time scale. Furthermore, these recurrence measures exhibit power-law scaling with the deviation of the control parameter from the critical point. Optimizing for the best power law reveals the critical value of the parameter. We apply this method to the synthetic data from a basic noisy Hopf bifurcation model and confirm that the detected critical point coincides with the bifurcation point. Our findings offer insights into identifying the critical points in noisy systems with gradual transitions, where the transition point is not well defined.</p>","PeriodicalId":9974,"journal":{"name":"Chaos","volume":"35 8","pages":""},"PeriodicalIF":3.2,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144764644","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Two-level atom witness of thermalization of multimode optical fibers. 多模光纤热化的二能级原子见证。
IF 3.2 2区 数学
Chaos Pub Date : 2025-08-01 DOI: 10.1063/5.0278293
M Wanic, R Khomeriki, S Stagraczyński, M I Katsnelson, Z Toklikishvili, L Chotorlishvili
{"title":"Two-level atom witness of thermalization of multimode optical fibers.","authors":"M Wanic, R Khomeriki, S Stagraczyński, M I Katsnelson, Z Toklikishvili, L Chotorlishvili","doi":"10.1063/5.0278293","DOIUrl":"https://doi.org/10.1063/5.0278293","url":null,"abstract":"<p><p>In the present project, we study the dynamics of the two-level system coupled with the multimode optical system. In particular, we considered a square lattice of optical fibers. We aimed to answer whether we can infer information about the thermalization of optical modes through the thermalization of two-level atoms. After averaging over the set of modes, the dynamic of the two-level system is free of quantum revivals, and that is the signature of thermalization. We showed that the temperature of the two-level system increases with the temperature of optical modes and mean photon number. In the high-temperature limit of optical modes, the temperature of the two-level system tends to be infinity, and level populations are equal.</p>","PeriodicalId":9974,"journal":{"name":"Chaos","volume":"35 8","pages":""},"PeriodicalIF":3.2,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144793533","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Chaotic dynamics for the two-body problem on a sphere. 球面上二体问题的混沌动力学。
IF 3.2 2区 数学
Chaos Pub Date : 2025-08-01 DOI: 10.1063/5.0285476
Sergey Bolotin
{"title":"Chaotic dynamics for the two-body problem on a sphere.","authors":"Sergey Bolotin","doi":"10.1063/5.0285476","DOIUrl":"https://doi.org/10.1063/5.0285476","url":null,"abstract":"<p><p>We prove the existence of chaotic trajectories for the two body problem on a sphere. The trajectories we construct encounter near collisions and are similar to the second species solutions of Poincaré of the classical three body problem. The construction uses a general result on Lagrangian systems with Newtonian singularities of the potential, which is based on the method of an anti-integrable limit of Serge Aubry.</p>","PeriodicalId":9974,"journal":{"name":"Chaos","volume":"35 8","pages":""},"PeriodicalIF":3.2,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144944857","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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