A nonrandom variational approach to stochastic linear quadratic gaussian optimization involving fractional noises (FLQG)

Journal of Applied Mathematics and Computing

Volumn 19, Issue 1-2, 2005, Pages 19-32

  Jumarie, Guy ^a  

^a UNIVERSITÉ DU QUÉBEC À MONTRÉAL   (Canada)

Author keywords

Fractional Brownian motion; Fractional derivative; Fractional Taylors's series; Mathematical finance; Mittag Leffler function; Optimal control

Indexed keywords

EID: 25144450064     PISSN: 15985865     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02935786     Document Type: Review

References (17)