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