Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain

DOI10.1007/s00780-004-0132-9zbMath1063.91040MaRDI QIDQ1776020

Ulrich G. Haussmann, Jörn Sass

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0132-9

zbMATH Keywords

portfolio optimization; partial information; stochastic interest rates; continuous time Markov chain; HMM filtering

Mathematics Subject Classification ID

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

60G44: Martingales with continuous parameter

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G10: Portfolio theory

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