A stochastic maximum principle for processes driven by fractional Brownian motion.

DOI10.1016/S0304-4149(02)00105-9zbMath1064.93048MaRDI QIDQ1766033

Bernt Øksendal, Agnès Sulem, Yaozhong Hu, Francesca Biagini

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic controlstochastic maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic integrals (60H05)

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Cites Work

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