Portfolio Optimization in Fractional and Rough Heston Models (Q5112724)
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scientific article; zbMATH DE number 7209455
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio Optimization in Fractional and Rough Heston Models |
scientific article; zbMATH DE number 7209455 |
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Portfolio Optimization in Fractional and Rough Heston Models (English)
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8 June 2020
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fractional stochastic processes
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Heston model
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rough paths
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stochastic control
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Hamilton-Jacobi-Bellman equation
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Feynman-Kac respresentation
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