Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence

DOI10.1016/j.insmatheco.2005.06.003zbMath1104.91034OpenAlexW2021110296MaRDI QIDQ817295

Guy Jumaric

Publication date: 8 March 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.003

zbMATH Keywords

Taylor expansion of fractional order

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Methods involving semicontinuity and convergence; relaxation (49J45) White noise theory (60H40)

Related Items (11)

Fractional Lévy stable motion: finite difference iterative forecasting model ⋮ A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics ⋮ Analysis of fractals, image compression, entropy encoding, Karhunen-Loève transforms ⋮ Optimal control problem with an integral equation as the control object ⋮ A robust numerical solution to a time-fractional Black-Scholes equation ⋮ Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications ⋮ Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function ⋮ Multivariate claim processes with rough intensities: properties and estimation ⋮ Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations ⋮ Analytically pricing double barrier options based on a time-fractional Black-Scholes equation ⋮ Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio

Cites Work

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• OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
• Stochastic differential equations with fractional Brownian motion input
• Fractional Brownian Motions, Fractional Noises and Applications
• New results on Fokker-Planck equations of fractional order.

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