Contrôle stochastique avec informations partielles et applications à la Finance (Q4260062)

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scientific article; zbMATH DE number 1332797
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Contrôle stochastique avec informations partielles et applications à la Finance
scientific article; zbMATH DE number 1332797

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    Contrôle stochastique avec informations partielles et applications à la Finance (English)
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    7 June 2000
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    infinite-dimensional Hamilton-Jacobi equation
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    stochastic control problems
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    partial observations
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    financial mathematics
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    pricing and hedging of European options
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    controlled Zakai's equations
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    viscosity solutions in infinite dimensions
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