Non-linear filtering and optimal investment under partial information for stochastic volatility models (Q1650844)
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scientific article
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| English | Non-linear filtering and optimal investment under partial information for stochastic volatility models |
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Non-linear filtering and optimal investment under partial information for stochastic volatility models (English)
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13 July 2018
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partial information
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stochastic volatility
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utility maximization
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martingale duality method
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nonlinear filtering
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Kushner-Stratonovich equations
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semilinear partial differential equation
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0.8487093448638916
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0.81926429271698
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0.8166729807853699
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0.8151928186416626
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