Filtering and portfolio optimization with stochastic unobserved drift in asset returns
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Publication:2348484
Asymptotic expansions of solutions to PDEs (35C20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Signal detection and filtering (aspects of stochastic processes) (60G35) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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