Power utility maximization under partial information: some convergence results

DOI10.1016/J.SPA.2010.05.013MaRDI QIDQ2638359zbMATH OpenOpenAlexFDO

Authors D. Covello, Marina Santacroce

Publication date 15 September 2010

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2010.05.013

zbMATH Keywords

backward stochastic differential equationpartial informationpower utility maximization problemsemimartingale market model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic programming (90C39) Utility theory (91B16) Portfolio theory (91G10)

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Cites work

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Cited in

(3)

• Expected power-utility maximization under incomplete information and with Cox-process observations
• Power utility maximization problems under partial information and information sufficiency in a Brownian setting
• Exponential utility maximization under partial information

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