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Author

Karim Ivaz

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Open access Sep 2026

Optimal Investment Control Under Jump-Fractional Dynamics: A Wick–Itô Approach

This paper extends the optimal investment control framework by incorporating fractional Brownian motion to capture long-range dependence and memory effects in asset prices. Replacing the standard Brownian component with a fractional Brownian motion governed by the Hurst parameter H with H∈(1/2,1), we employ the Wick–It...

Mehran Paziresh, Mariyan Milev, Karim Ivaz et al. · 0 citations

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