An introduction to optimal consumption with partial observation (Q2741114)
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scientific article; zbMATH DE number 1642349
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| English | An introduction to optimal consumption with partial observation |
scientific article; zbMATH DE number 1642349 |
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2001
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optimal consumption
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0.8006086945533752
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0.7731987237930298
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0.7686579823493958
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0.7680424451828003
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An introduction to optimal consumption with partial observation (English)
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This paper provides a method for solving a stochastic control problem with partial observations. The solution involves an optimal consumption problem in which the mean growth rate of the economy is characterized by the Ornstein-Uhlenbeck process where the mean is only observed partially. The paper solves the optimal consumption problem by using the Kalman-Bucy filter. For the entire collection see [Zbl 0964.00056].
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