OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION (Q4467379): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claims |
||
| Property / author | |||
| Property / author: Q208046 / rank | |||
| Property / author | |||
| Property / author: Bernt Øksendal / rank | |||
Revision as of 18:05, 10 February 2024
scientific article; zbMATH DE number 2071126
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION |
scientific article; zbMATH DE number 2071126 |
Statements
OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION (English)
0 references
9 June 2004
0 references
fractional Brownian motions
0 references
fractional Itô calculus
0 references
fractional Black-Scholes market
0 references
quasi-conditional expectation
0 references
optimal consumption and portfolio
0 references
