DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION

DOI10.1142/S0219025708003221zbMath1165.60321OpenAlexW2141309677MaRDI QIDQ3606614

Lihua Bai, Hua-Yue Zhang

Publication date: 26 February 2009

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219025708003221

zbMATH Keywords

fractional Brownian motioncompound Poisson processefficient frontiermean-variancecompletion of squares method

Mathematics Subject Classification ID

Gaussian processes (60G15) Optimal stochastic control (93E20)

Related Items (1)

Insurance control for classical risk model with fractional Brownian motion perturbation

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