Study of a degenerate elliptic equation in an optimal consumption problem under partial information
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Publication:2352145
DOI10.1007/s13160-015-0170-zzbMath1320.91138OpenAlexW1995836769MaRDI QIDQ2352145
Publication date: 30 June 2015
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-015-0170-z
stochastic controlhidden Markov modelsHJB equationdegenerate elliptic equationfiltering equationoptimal consumption problem
Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Degenerate elliptic equations (35J70) Financial applications of other theories (91G80) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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