Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion

DOI10.1080/07362994.2011.532021zbMath1209.93164OpenAlexW2049356045MaRDI QIDQ3081439

Alexandros A. Zimbidis

Publication date: 8 March 2011

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

Full work available at URL: https://doi.org/10.1080/07362994.2011.532021

zbMATH Keywords

Riccati equationvariable annuitiesdefined-contribution pension schemesfractional Brownian motion (FBM)stochastic linear-quadratic (SLQ) control

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic analysis of the fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• Stochastic integration with respect to fractional Brownian motion
• A class of micropulses and antipersistent fractional Brownian motion
• On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
• About the linear-quadratic regulator problem under a fractional Brownian perturbation
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Fractional Brownian Motions, Fractional Noises and Applications

This page was built for publication: Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion