Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion (Q3081439)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion |
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Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion (English)
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8 March 2011
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defined-contribution pension schemes
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fractional Brownian motion (FBM)
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Riccati equation
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stochastic linear-quadratic (SLQ) control
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variable annuities
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