Minimal variance hedging for fractional Brownian motion

DOI10.4310/MAA.2003.v10.n3.a2zbMath1056.60033MaRDI QIDQ1884152

Francesca Biagini, Bernt Øksendal

Publication date: 25 October 2004

Published in: Methods and Applications of Analysis (Search for Journal in Brave)

zbMATH Keywords

integration by parts formulaisometry propertymulti-dimensional Itô formula

Mathematics Subject Classification ID

Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (4)

Solutions to BSDEs driven by both standard and fractional Brownian motions ⋮ On the fractional stochastic integration for random non-smooth integrands ⋮ On stochastic calculus related to financial assets without semimartingales ⋮ A stochastic maximum principle for processes driven by fractional Brownian motion.

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