General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance (Q1035875)
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scientific article; zbMATH DE number 5625087
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| English | General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance |
scientific article; zbMATH DE number 5625087 |
Statements
General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance (English)
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4 November 2009
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risk-sensitive optimal control
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general maximum principle
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partial information
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nonzero sum differential game
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portfolio choices
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0.9047499895095824
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0.892160177230835
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0.8901222348213196
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0.8690556883811951
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