Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach

DOI10.1007/S11464-007-0032-3zbMath1141.93064OpenAlexW2284869551MaRDI QIDQ2477578

Lihua Bai, Jun-Yi Guo

Publication date: 14 March 2008

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-007-0032-3

zbMATH Keywords

utility maximizationpartial informationfiltering theoryHamilton-Jacobi-Bellman (HJB) equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Cites Work

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• Optimal trading strategy for an investor: the case of partial information
• Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
• Utility maximization with partial information
• A Stochastic Control Approach to Risk Management Under Restricted Information
• A Generalized Cameron–Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization
• Portfolio choice and the Bayesian Kelly criterion
• A Note On Utility Maximization Under Partial Observations¹

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