Pages that link to "Item:Q4467379"
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The following pages link to OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION (Q4467379):
Displayed 18 items.
- Group sequential tests under fractional Brownian motion in monitoring clinical trials (Q257555) (← links)
- Solutions to BSDEs driven by both standard and fractional Brownian motions (Q350757) (← links)
- Maximum principle for general controlled systems driven by fractional Brownian motions (Q358622) (← links)
- Sample size determination for group sequential test under fractional Brownian motion (Q358885) (← links)
- Affine fractional stochastic volatility models (Q470522) (← links)
- Strategic asset allocation under a fractional hidden Markov model (Q479173) (← links)
- A general non-existence result for linear BSDEs driven by Gaussian processes (Q516011) (← links)
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence (Q817295) (← links)
- Insurance control for classical risk model with fractional Brownian motion perturbation (Q1004262) (← links)
- Option pricing beyond Black-Scholes based on double-fractional diffusion (Q1619260) (← links)
- A stochastic maximum principle for processes driven by fractional Brownian motion. (Q1766033) (← links)
- The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate (Q1782521) (← links)
- On inference for fractional differential equations (Q1943988) (← links)
- Optimal control problem with an integral equation as the control object (Q2653948) (← links)
- Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions (Q2800470) (← links)
- DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION (Q3606614) (← links)
- <i>Q</i>-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market (Q3611813) (← links)
- Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model (Q3633141) (← links)