PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS (Q5422629): Difference between revisions
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Revision as of 21:51, 5 March 2024
scientific article; zbMATH DE number 5205654
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS |
scientific article; zbMATH DE number 5205654 |
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PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS (English)
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29 October 2007
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jump-diffusion process
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filtering
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utility maximization
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stochastic control
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generalized HJB equation
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optimal portfolio strategies
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Bayesian control
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stochastic comparison
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