Insurance control for classical risk model with fractional Brownian motion perturbation

DOI10.1016/j.spl.2008.09.027zbMath1416.62593OpenAlexW2093253591MaRDI QIDQ1004262

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

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20)

Related Items (3)

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

Cites Work

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• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• A stochastic maximum principle for processes driven by fractional Brownian motion.
• General approach to filtering with fractional brownian noises — application to linear systems
• 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
• Stochastic analysis of fractional brownian motions
• About the linear-quadratic regulator problem under a fractional Brownian perturbation
• OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
• Linear estimation of self-similar processes via Lamperti's transformation
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Modelling of stock price changes: a real analysis approach

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