Insurance control for classical risk model with fractional Brownian motion perturbation
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Publication:1004262
DOI10.1016/j.spl.2008.09.027zbMath1416.62593OpenAlexW2093253591MaRDI QIDQ1004262
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20)
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Cites Work
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- A stochastic maximum principle for processes driven by fractional Brownian motion.
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- 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
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- 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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