Insurance control for classical risk model with fractional Brownian motion perturbation
type: Item
instance of: scholarly article
title: Insurance control for classical risk model with fractional Brownian motion perturbation
zbMATH Open document ID: 1416.62593
author: J. Martínez
published in: Statistics \& Probability Letters
publication date: 2009-03-02T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5522226
MaRDI profile type: Publication
full work available at URL: j.spl.2008.09.027
OpenAlex ID: W2093253591
cites work: A stochastic maximum principle for processes driven by fractional Brownian motion.
cites work: Itô's formula with respect to fractional Brownian motion and its application
cites work: Stochastic Calculus for Fractional Brownian Motion I. Theory
cites work: Reinsurance control in a model with liabilities of the fractional Brownian motion type
cites work: OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
cites work: General approach to filtering with fractional brownian noises — application to linear systems
cites work: About the linear-quadratic regulator problem under a fractional Brownian perturbation
cites work: Stochastic analysis of fractional brownian motions
cites work: An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
cites work: Modelling of stock price changes: a real analysis approach
cites work: Linear estimation of self-similar processes via Lamperti's transformation
cites work: DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION
DOI: 10.1016/J.SPL.2008.09.027
description: scientific article; zbMATH DE number 5522226