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

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