Optimal portfolio in partially observed stochastic volatility models.

DOI10.1214/aoap/998926991zbMath1043.91032OpenAlexW1993990934MaRDI QIDQ1872462

Huyên Pham, Marie-Claire Quenez

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/998926991

zbMATH Keywords

expected utilitystock pricesBrownian motions

Mathematics Subject Classification ID

Related Items (38)

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