Non-linear filtering and optimal investment under partial information for stochastic volatility models (Q1650844): Difference between revisions

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Latest revision as of 10:59, 28 October 2024

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Non-linear filtering and optimal investment under partial information for stochastic volatility models
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    Non-linear filtering and optimal investment under partial information for stochastic volatility models (English)
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    13 July 2018
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    partial information
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    stochastic volatility
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    utility maximization
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    martingale duality method
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    nonlinear filtering
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    Kushner-Stratonovich equations
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    semilinear partial differential equation
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