Optimal investment problem with delay under partial information
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Publication:2197192
DOI10.3934/MCRF.2020001zbMATH Open1447.91166OpenAlexW2990032195MaRDI QIDQ2197192FDOQ2197192
Authors: Shuaiqi Zhang, Jie Xiong, Xin Zhang 
Publication date: 28 August 2020
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2020001
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Cited In (13)
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Stochastic maximum principle for control systems with time-varying delay
- Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- Stability of financial market driven by information delay and liquidity in delay agent-based model
- Title not available (Why is that?)
- OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY
- Robust optimal investment problem with delay under Heston's model
- The impact of operational delay on irreversible investment under Knightian uncertainty
- 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”
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