Expected power-utility maximization under incomplete information and with Cox-process observations

DOI10.1007/s00245-012-9180-2zbMath1259.93133MaRDI QIDQ1946535

Wolfgang J. Runggaldier, Kazufumi Fujimoto, Hideo Nagai

Publication date: 15 April 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-012-9180-2

zbMATH Keywords

stochastic control; portfolio optimization; incomplete information; regime-switching models; Cox-process observations; expected terminal power utility; random trading times; unobserved Markovian factor process

Mathematics Subject Classification ID

93C41: Control/observation systems with incomplete information

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

Optimal Investment Under Information Driven Contagious Distress, Dynamic credit investment in partially observed markets, Expected log-utility maximization under incomplete information and with Cox-process observations, Study of a degenerate elliptic equation in an optimal consumption problem under partial information, Optional projection under equivalent local martingale measures

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