Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications

DOI10.1016/j.camwa.2017.02.031zbMath1372.91095OpenAlexW2606976961MaRDI QIDQ2403735

Yanyan Li

Publication date: 12 September 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.02.031

zbMATH Keywords

stochastic differential equationfractional Black-Scholes equationMerton's optimal problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items

Strong convergence of a Euler-Maruyama method for fractional stochastic Langevin equations ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Numerical simulation of fractional-order dynamical systems in noisy environments ⋮ On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach ⋮ Computational scheme for solving nonlinear fractional stochastic differential equations with delay ⋮ A New Generalized Gronwall Inequality with a Double Singularity and Its Applications to Fractional Stochastic Differential Equations ⋮ Controlled singular evolution equations and Pontryagin type maximum principle with applications ⋮ Existence and stability results for multi-time scale stochastic fractional neural networks

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• Bond portfolio optimization
• Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• Stochastic differential equations with fractional Brownian motion input
• Portfolio Selection with Transaction Costs
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item