Optimal portfolio, partial information and Malliavin calculus (Q3396071)

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Optimal portfolio, partial information and Malliavin calculus
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    Statements

    title
    Optimal portfolio, partial information and Malliavin calculus (English)
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    author
    Giulia Di Nunno
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    Bernt Øksendal
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    published in
    Stochastics
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    publication date
    16 September 2009
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    zbMATH Keywords
    stochastic control
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    partial information
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    optimal portfolio
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    utility maximization
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    Malliavin calculus
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    91B30
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    60H07
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    zbMATH DE Number
    5604273
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    OpenAlex ID
    W1981045946
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