Insurance control for classical risk model with fractional Brownian motion perturbation (Q1004262): Difference between revisions

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+https://doi.org/10.1016/j.spl.2008.09.027
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+W2093253591
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@@ Property / cites work @@
+A stochastic maximum principle for processes driven by fractional Brownian motion.
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+Reinsurance control in a model with liabilities of the fractional Brownian motion type
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+General approach to filtering with fractional brownian noises — application to linear systems
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+About the linear-quadratic regulator problem under a fractional Brownian perturbation
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+DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
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