Stochastic controls of fractional Brownian motion
-
Ikram Hamed
and
Adel Chala
Abstract
We consider a stochastic control problem for a non-linear forward-backward stochastic differential equation driven by fractional Brownian motion, with Hurst parameter
Funding statement: This work is partially supported by The University of Biskra, Faculty of Exact Sciences and Sciences of Nature and Life, PRFU project No. COOL03UN070120220004.
Acknowledgements
The authors wish to thank the referees and editors for their valuable comments and suggestions which led to improvements in the document.
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Articles in the same Issue
- Frontmatter
- On a reaction diffusion problem with a moving impulse on boundary
- Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients
- Stochastic controls of fractional Brownian motion
- QMLE for periodic absolute value GARCH models
- The generalized canonical equations K 1, K 7, K 16, K 27. The REFORM method, the invariance principal method, the matrix expansion method and G-transform. The main stochastic canonical equations K 100,...,K 106 and the estimators G 55,...,G 58 of the MAGIC (Mathematical Analysis of General Invisible Components)
Articles in the same Issue
- Frontmatter
- On a reaction diffusion problem with a moving impulse on boundary
- Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients
- Stochastic controls of fractional Brownian motion
- QMLE for periodic absolute value GARCH models
- The generalized canonical equations K 1, K 7, K 16, K 27. The REFORM method, the invariance principal method, the matrix expansion method and G-transform. The main stochastic canonical equations K 100,...,K 106 and the estimators G 55,...,G 58 of the MAGIC (Mathematical Analysis of General Invisible Components)
