PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS

DOI10.1111/j.1467-9965.2006.00300.xzbMath1186.91189MaRDI QIDQ5422629

Publication date: 29 October 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000012927

zbMATH Keywords

stochastic control; filtering; utility maximization; generalized HJB equation; jump-diffusion process; stochastic comparison; optimal portfolio strategies; Bayesian control

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

91G10: Portfolio theory

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