Optimal portfolio, partial information and Malliavin calculus (Q3396071): Difference between revisions

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-Bernt Øksendal
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+Bernt Øksendal
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+MaRDI publication profile
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+W1981045946
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+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
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+Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
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+Anticipative calculus for Lévy processes and stochastic differential equations<sup>*</sup>
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+MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
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+Applications of Malliavin calculus to Monte Carlo methods in finance
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+Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
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+Q4368791
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+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
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+On Lévy processes, Malliavin calculus and market models with jumps
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+Q4337939
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+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
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+Chaotic and predictable representations for Lévy processes.
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+Partial observation control in an anticipating environment
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