Insurance control for classical risk model with fractional Brownian motion perturbation
DOI10.1016/J.SPL.2008.09.027zbMATH Open1416.62593OpenAlexW2093253591MaRDI QIDQ1004262FDOQ1004262
Authors: J. Martínez 
Publication date: 2 March 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2008.09.027
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20)
Cites Work
- OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Itô's formula with respect to fractional Brownian motion and its application
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- A stochastic maximum principle for processes driven by fractional Brownian motion.
- Linear estimation of self-similar processes via Lamperti's transformation
- Stochastic analysis of fractional brownian motions
- Reinsurance control in a model with liabilities of the fractional Brownian motion type
- Modelling of stock price changes: a real analysis approach
- General approach to filtering with fractional brownian noises — application to linear systems
- DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
- About the linear-quadratic regulator problem under a fractional Brownian perturbation
Cited In (6)
- Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes
- Stochastic averaging for a class of two-time-scale systems of stochastic partial differential equations
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
- Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion
- Reinsurance control in a model with liabilities of the fractional Brownian motion type
- DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
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