A Stochastic Optimal Control Of Dc Pension Fund Driven By Fractional Brownian Motion With Hurst Parameter

Abstract

The problem of A fund manager is to minimize the expected utility loss function, the noise generated in the dynamics of the wealth process are driven by fractional Brownian motions with long range dependence (if H>1/2). We replaced the classical Brownian motion by fractional Brownian motion with Hurst parameter more than 1/2. We finally use time-inversion of diffusions to obtain singular equations.