Optimal consumption and portfolio in a Black-Scholes market driven by fractional Brownian motion

Infinite Dimensional Analysis, Quantum Probability and Related Topics

Volumn 6, Issue 4, 2003, Pages 519-536

  Hu, Yaozhong ^a   Økendal, Bernt ^b,c   Sulem, Agnès ^d  

^a UNIVERSITY OF KANSAS   (United States)

^b UNIVERSITY OF OSLO   (Norway)

^c NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

^d INRIA ROCQUENCOURT   (France)

Author keywords

Fractional Black Scholes market; Fractional Brownian motions; Fractional It calculus; Optimal consumption and portfolio; Quasi conditional expectation

Indexed keywords

EID: 0347002468     PISSN: 02190257     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219025703001432     Document Type: Article

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