Optimal control problem with an integral equation as the control object (Q2653948): Difference between revisions

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-Q1780372
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+Nikolaĭ P. Osmolovskiĭ
@@ Property / author: Nikolaĭ P. Osmolovskiĭ / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.na.2009.08.008
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+W2085610670
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@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
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@@ Property / cites work @@
+A stochastic maximum principle for processes driven by fractional Brownian motion.
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+OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
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+Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
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@@ Property / cites work @@
+Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
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@@ Property / cites work @@
+Q4693004
@@ Property / cites work: Q4693004 / rank @@
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+Q4216932
@@ Property / cites work: Q4216932 / rank @@
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+An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
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+Modeling with Itô Stochastic Differential Equations
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+Estimation for nonlinear stochastic differential equations by a local linearization method<sup>1</sup>
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