Add to ORKGAbstract: In this paper, an explicit expression of the optimal consumption rate and the optima
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
International audienceWe consider an optimal investment and consumption problem for a Black-Scholes ...
In a general semi-martingale financial market with possibly nonlinear wealth dynamics, incomplete in...
In this paper we consider the classical Merton problem of nding the optimal consumption rate and the...
We use the dynamic programming principle method to obtain the Hamilton-Jacobi-Bellman (HJB) equation...
This paper addresses the problem of finding the optimal portfolio and consumption of a small agent i...
Abstract. We consider the maximization of the long-term growth rate in the Black-Scholes model under...
This paper investigates the optimal investment and consumption problem in a continuous-time financia...
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on...
36 pagesWe investigate optimal consumption and investment problems for a Black-Scholes market under ...
none3siIn a market with an asset price described by fractional Brownian motion, which can be traded ...
In this paper we investigate an optimal investment and consump-tion problem for an investor who trad...
We consider an optimal investment and consumption problem for a Black-Scholes financial market with ...
Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Browni...
pages:38We consider an optimal investment and consumption problem for a Black-Scholes financial mark...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
International audienceWe consider an optimal investment and consumption problem for a Black-Scholes ...
In a general semi-martingale financial market with possibly nonlinear wealth dynamics, incomplete in...
In this paper we consider the classical Merton problem of nding the optimal consumption rate and the...
We use the dynamic programming principle method to obtain the Hamilton-Jacobi-Bellman (HJB) equation...
This paper addresses the problem of finding the optimal portfolio and consumption of a small agent i...
Abstract. We consider the maximization of the long-term growth rate in the Black-Scholes model under...
This paper investigates the optimal investment and consumption problem in a continuous-time financia...
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on...
36 pagesWe investigate optimal consumption and investment problems for a Black-Scholes market under ...
none3siIn a market with an asset price described by fractional Brownian motion, which can be traded ...
In this paper we investigate an optimal investment and consump-tion problem for an investor who trad...
We consider an optimal investment and consumption problem for a Black-Scholes financial market with ...
Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Browni...
pages:38We consider an optimal investment and consumption problem for a Black-Scholes financial mark...
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option...
International audienceWe consider an optimal investment and consumption problem for a Black-Scholes ...
In a general semi-martingale financial market with possibly nonlinear wealth dynamics, incomplete in...