Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
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Publication:2477578
DOI10.1007/S11464-007-0032-3zbMath1141.93064OpenAlexW2284869551MaRDI QIDQ2477578
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
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)
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Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process ⋮ Optimal investment problem with delay under partial information ⋮ Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process ⋮ Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games ⋮ Optimal reinsurance and investment with unobservable claim size and intensity ⋮ Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition
Cites Work
- Optimal trading strategy for an investor: the case of partial information
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- 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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