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

DOI10.1142/S0219025703001432zbMath1180.91266MaRDI QIDQ4467379

Agnès Sulem, Bernt Øksendal, Yaozhong Hu

Publication date: 9 June 2004

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motions; quasi-conditional expectation; optimal consumption and portfolio; fractional Black-Scholes market; fractional Itô calculus

Mathematics Subject Classification ID

60G15: Gaussian processes

60H05: Stochastic integrals

91G50: Corporate finance (dividends, real options, etc.)

91G10: Portfolio theory

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