A stochastic maximum principle for processes driven by fractional Brownian motion

被引：45
作者：
Biagini, F
Hu, YZ
Oksendal, B
Sulem, A
机构：
[1] Univ Oslo, Dept Math, N-0316 Oslo, Norway
[2] Univ Bologna, Dept Math, I-40127 Bologna, Italy
[3] Univ Kansas, Dept Math, Lawrence, KS 66045 USA
[4] Norwegian Sch Econ & Business Adm, N-5045 Bergen, Norway
[5] INRIA, F-78153 Le Chesnay, France
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2002年 / 100卷
基金：
美国国家科学基金会;
关键词：
stochastic maximum principle; stochastic control; fractional Brownian motion;
D O I：
10.1016/S0304-4149(02)00105-9
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We prove a stochastic maximum principle for controlled processes X(t) = X-(u)(t) of the form dX(t) = b(t,X(t), u(t))dt + sigma(t,X(t),u(t))dB((II))(t), where B-(II)(t) is m-dimensional fractional Brownian motion with Hurst parameter H = (H-1,..., H-m) epsilon (1/2, 1)(m). As an application we solve a problem about minimal variance hedging in an incomplete market driven by fractional Brownian motion. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：233 / 253
页数：21
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