OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION (Q4467379): Difference between revisions

@@ Property / author @@
-Q208046
@@ Property / author: Q208046 / rank @@
-Normal rank
@@ Property / author @@
-Bernt Øksendal
@@ Property / author: Bernt Øksendal / rank @@
-Normal rank
@@ Property / author @@
+Yaozhong Hu
@@ Property / author: Yaozhong Hu / rank @@
+Normal rank
@@ Property / author @@
+Bernt Øksendal
@@ Property / author: Bernt Øksendal / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
+Normal rank
@@ Property / cites work @@
+Itô's formula with respect to fractional Brownian motion and its application
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion I. Theory
+Normal rank
@@ Property / cites work @@
+Arbitrage opportunities for a class of Gladyshev processes
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+On the prediction of fractional Brownian motion
@@ Property / cites work: On the prediction of fractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities
+Normal rank
@@ Property / cites work @@
+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
+Normal rank
@@ Property / cites work @@
+Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of fractional brownian motions
+Normal rank
@@ Property / cites work @@
+Q4028298
@@ Property / cites work: Q4028298 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+On a dual pair of spaces of smooth and generalized random variables
+Normal rank
@@ Property / cites work @@
+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+On a Generalization of a Stochastic Integral
@@ Property / cites work: On a Generalization of a Stochastic Integral / rank @@
+Normal rank
@@ Property / cites work @@
+Q3137751
@@ Property / cites work: Q3137751 / rank @@
+Normal rank