Dynamic credit investment in partially observed markets (Q889624)

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Dynamic credit investment in partially observed markets
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    title
    Dynamic credit investment in partially observed markets (English)
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    author
    Agostino Capponi
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    Andrea Pascucci
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    publication date
    9 November 2015
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    Mathematics Subject Classification ID
    93E20
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    91G10
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    49L20
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    93E11
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    60J10
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    zbMATH DE Number
    6505831
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    zbMATH Keywords
    partial information
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    filtering
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    risk-sensitive control
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    default risk
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    hidden Markov chain
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