Expected power-utility maximization under incomplete information and with Cox-process observations (Q1946535): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00245-012-9180-2
+Normal rank
@@ Property / OpenAlex ID @@
+W2085138102
@@ Property / OpenAlex ID: W2085138102 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential stability for nonlinear filtering
@@ Property / cites work: Exponential stability for nonlinear filtering / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment under partial information
@@ Property / cites work: Optimal investment under partial information / rank @@
+Normal rank
@@ Property / cites work @@
+Point processes and queues. Martingale dynamics
@@ Property / cites work: Point processes and queues. Martingale dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+A filtering approach to tracking volatility from prices observed at random times
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
+Normal rank
@@ Property / cites work @@
+Expected log-utility maximization under incomplete information and with Cox-process observations
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS
+Normal rank
@@ Property / cites work @@
+Investment/Consumption Problem in Illiquid Markets with Regime-Switching
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
+Normal rank
@@ Property / cites work @@
+Decay of correlations
@@ Property / cites work: Decay of correlations / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolio of low liquid assets with a log-utility function
+Normal rank
@@ Property / cites work @@
+Q3504645
@@ Property / cites work: Q3504645 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3015770
@@ Property / cites work: Q3015770 / rank @@
+Normal rank
@@ Property / cites work @@
+A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
+Normal rank
@@ Property / cites work @@
+A coupled system of integrodifferential equations arising in liquidity risk model
+Normal rank
@@ Property / cites work @@
+Q4550917
@@ Property / cites work: Q4550917 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain
+Normal rank