Expected power-utility maximization under incomplete information and with Cox-process observations

DOI10.1007/s00245-012-9180-2zbMath1259.93133OpenAlexW2085138102MaRDI QIDQ1946535

Wolfgang J. Runggaldier, Kazufumi Fujimoto, Hideo Nagai

Publication date: 15 April 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-012-9180-2

zbMATH Keywords

stochastic controlportfolio optimizationincomplete informationregime-switching modelsCox-process observationsexpected terminal power utilityrandom trading timesunobserved Markovian factor process

Mathematics Subject Classification ID

Control/observation systems with incomplete information (93C41) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (5)

Dynamic credit investment in partially observed markets ⋮ Optional projection under equivalent local martingale measures ⋮ Expected log-utility maximization under incomplete information and with Cox-process observations ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ Study of a degenerate elliptic equation in an optimal consumption problem under partial information

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