Title of article
A stochastic maximum principle for processes driven by fractional Brownian motion
Author/Authors
Biagini، نويسنده , , Francesca and Hu، نويسنده , , Yaozhong and طksendal، نويسنده , , Bernt and Sulem، نويسنده , , Agnès، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
21
From page
233
To page
253
Abstract
We prove a stochastic maximum principle for controlled processes X(t)=X(u)(t) of the formdX(t)=b(t,X(t),u(t)) dt+σ(t,X(t),u(t)) dB(H)(t),where B(H)(t) is m-dimensional fractional Brownian motion with Hurst parameter H=(H1,…,Hm)∈(12,1)m. As an application we solve a problem about minimal variance hedging in an incomplete market driven by fractional Brownian motion.
Keywords
stochastic control , Stochastic maximum principle , Fractional Brownian motion
Journal title
Stochastic Processes and their Applications
Serial Year
2002
Journal title
Stochastic Processes and their Applications
Record number
1576978
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