OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
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Publication:4467379
DOI10.1142/S0219025703001432zbMath1180.91266MaRDI QIDQ4467379
Agnès Sulem, Bernt Øksendal, Yaozhong Hu
Publication date: 9 June 2004
Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)
fractional Brownian motions; quasi-conditional expectation; optimal consumption and portfolio; fractional Black-Scholes market; fractional Itô calculus
60G15: Gaussian processes
60H05: Stochastic integrals
91G50: Corporate finance (dividends, real options, etc.)
91G10: Portfolio theory
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