Backward SDEs for control with partial information
From MaRDI portal
Publication:5743122
DOI10.1111/mafi.12174zbMath1458.91196arXiv1807.08222OpenAlexW3122283386MaRDI QIDQ5743122
Publication date: 8 May 2019
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.08222
backward stochastic differential equationsportfolio optimizationpartial informationnon-Markov control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)
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