A stochastic maximum principle for processes driven by fractional Brownian motion

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• 作者：Biagini ; Francesca ; Hu ; Yaozhong ; Ø ; ksendal ; Bernt ; Sulem ; Agnè ; s
• 关键词：Primary 93E20 ; 60H05 ; 60H10 ; Secondary 91B28 ; Stochastic maximum principle ; Stochastic control ; Fractional Brownian motion
• 刊名：Stochastic Processes and their Applications
• 出版年：2002
• 出版时间：July - August, 2002
• 年：2002
• 卷：100
• 期：1-2
• 页码：233-253
• 全文大小：194 K

文摘

We prove a stochastic maximum principle for controlled processes X(t)=X^(u)(t) of the form Formula Not Shown where B^(H)(t) is m-dimensional fractional Brownian motion with Hurst parameter H=(H₁,…,H_m)(,1)^m. As an application we solve a problem about minimal variance hedging in an incomplete market driven by fractional Brownian motion.