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

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Latest revision as of 16:44, 6 June 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)
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    9 June 2004
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    fractional Brownian motions
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    fractional Itô calculus
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    fractional Black-Scholes market
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    quasi-conditional expectation
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    optimal consumption and portfolio
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    Identifiers

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