Optimal investment problem with delay under partial information
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Cites work
- scientific article; zbMATH DE number 3426073 (Why is no real title available?)
- A stochastic portfolio optimization model with bounded memory
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- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment under partial information
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal proportional reinsurance and investment under partial information
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Some Solvable Stochastic Control Problems With Delay
- Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
- Utility maximization with partial information
- Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
Cited in
(13)- Stochastic maximum principle for control systems with time-varying delay
- Stability of financial market driven by information delay and liquidity in delay agent-based model
- The impact of operational delay on irreversible investment under Knightian uncertainty
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- scientific article; zbMATH DE number 1501700 (Why is no real title available?)
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- Robust optimal investment problem with delay under Heston's model
- Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
- Optimal investment under dynamic risk constraints and partial information
- A global maximum principle for stochastic optimal control problems with delay and applications
- Optimal investment mean-field and N-player games with memory effect and relative performance competition
- Comment on “Investment Timing Under Incomplete Information”
- OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY
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