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

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+A stochastic maximum principle for processes driven by fractional Brownian motion.
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+Itô's formula with respect to fractional Brownian motion and its application
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+Stochastic Calculus for Fractional Brownian Motion I. Theory
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+Reinsurance control in a model with liabilities of the fractional Brownian motion type
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+OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
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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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+Stochastic analysis of fractional brownian motions
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+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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+Modelling of stock price changes: a real analysis approach
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+Linear estimation of self-similar processes via Lamperti's transformation
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+DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
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