Power utility maximization under partial information: some convergence results

DOI10.1016/j.spa.2010.05.013zbMath1195.91143OpenAlexW2056133709MaRDI QIDQ2638359

Marina Santacroce, D. Covello

Publication date: 15 September 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.05.013

zbMATH Keywords

backward stochastic differential equationpartial informationpower utility maximization problemsemimartingale market model

Mathematics Subject Classification ID

Utility theory (91B16) Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (1)

Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting

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