Filtering and portfolio optimization with stochastic unobserved drift in asset returns
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Publication:2348484
DOI10.4310/CMS.2015.v13.n4.a5zbMath1321.91109MaRDI QIDQ2348484
Jean-Pierre Fouque, Ronnie Sircar, Andrew Papanicolaou
Publication date: 12 June 2015
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/cms.2015.v13.n4.a5
91G60: Numerical methods (including Monte Carlo methods)
60G35: Signal detection and filtering (aspects of stochastic processes)
93E20: Optimal stochastic control
91G80: Financial applications of other theories
35C20: Asymptotic expansions of solutions to PDEs
91G10: Portfolio theory
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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