Fractional stochastic differential equations with applications to finance

DOI10.1016/j.jmaa.2012.07.062zbMath1255.60100OpenAlexW2093085986MaRDI QIDQ713467

Dung Nguyen Tien

Publication date: 29 October 2012

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

Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.07.062

zbMATH Keywords

optimal portfoliofractional stochastic differential equationsfractional semimartingalesimple approximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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