Optimal Investment-consumption for Partially Observed Jump-diffusions

DOI10.1007/978-3-0348-0545-2_17MaRDI QIDQ5746531zbMATH OpenOpenAlexFDO

Authors Claudia Ceci

Publication date 19 February 2014

Published in Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0545-2_17

zbMATH Keywords

backward stochastic differential equationsjump-diffusion processesoptimal stochastic controlpartial informationutility maximization

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Utility theory (91B16) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

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Cited in

(20)

• Optimal investment in markets with over and under-reaction to information
• Optimal investment-consumption decisions with partially observed inflation: a discrete-time formulation
• Better than pre-committed optimal mean-variance policy in a jump diffusion market
• Optimal investment and consumption under partial information
• An optimal portfolio and consumption problem with a benchmark and partial information
• Optimal consumption-investment under partial information in conditionally log-Gaussian models
• Optimal consumption and portfolio for an insider in a market with jumps
• Sequential \delta-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters
• BSDEs under partial information and financial applications
• Optimization of consumption with partial observation–-Jensen inequality method
• Merton's optimal investment problem with jump signals
• Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process
• An optimal consumption and investment problem with partial information
• Consumption optimization for recursive utility in a jump-diffusion model
• Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
• GKW representation theorem under restricted information. An application to risk-minimization
• PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
• Optimal portfolio and consumption with discontinuous prices and imcomplete information
• Wealth optimization in an incomplete market driven by a jump-diffusion process
• A long-term optimal consumption and investment problem with partial information

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