General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
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Publication:1035875
DOI10.1007/s10957-008-9484-1zbMath1178.49049OpenAlexW2063539226MaRDI QIDQ1035875
Publication date: 4 November 2009
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-008-9484-1
partial informationrisk-sensitive optimal controlgeneral maximum principleportfolio choicesnonzero sum differential game
Differential games and control (49N70) Portfolio theory (91G10) Optimality conditions for problems involving relations other than differential equations (49K21)
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