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
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non-linear filtering and optimal investment under partial information for stochastic volatility models |
scientific article |
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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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