A stochastic maximum principle for processes driven by fractional Brownian motion

By Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Agnès Sulem. 2002

78 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2bb8c9b47462857393e5dbe3a5f1f9897b42ec84