Filtering and portfolio optimization with stochastic unobserved drift in asset returns

DOI10.4310/CMS.2015.v13.n4.a5zbMath1321.91109OpenAlexW3124909925MaRDI QIDQ2348484

Jean-Pierre Fouque, Ronnie Sircar, Andrew Papanicolaou

Publication date: 12 June 2015

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cms.2015.v13.n4.a5

zbMATH Keywords

Hamilton-Jacobi-Bellman equationfilteringportfolio optimizationasymptotic approximations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Asymptotic expansions of solutions to PDEs (35C20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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