Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach

DOI10.1007/S11464-007-0032-3MaRDI QIDQ2477578zbMATH OpenOpenAlexFDO

Authors Lihua Bai, Junyi Guo

Publication date 14 March 2008

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-007-0032-3

zbMATH Keywords

filtering theoryHamilton-Jacobi-Bellman (HJB) equationpartial informationutility maximization

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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Cites work

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• Optimal trading strategy for an investor: the case of partial information
• Portfolio choice and the Bayesian Kelly criterion
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• Utility maximization with partial information

Cited in

(16)

• Utility maximization with partial information
• Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games
• Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition
• Optimal investment problem with delay under partial information
• Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
• Partially observable stochastic optimal control problems for an energy storage
• PDE approach to utility maximization for market models with hidden Markov factors
• A Black-Scholes formula for option pricing with dividends and optimal investment problems under partial information
• Utility maximization with partial information for Ornstein-Uhlenbeck model
• Contrôle stochastique avec informations partielles et applications à la Finance
• Bellman equations for terminal utility maximization with general bid and ask prices
• Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
• Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
• Optimal reinsurance and investment problem with multiple risky assets and correlation risk for an insurer under the Ornstein-Uhlenbeck model
• The value of information under partial information for exponential utility
• Optimal reinsurance and investment with unobservable claim size and intensity

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