Optimal consumption choices with anticipation: Methods of martingale

MaRDI QIDQ2744547zbMATH OpenFDO

Authors Weiyin Fei, Rangquan Wu, Shaofu Zhou

Publication date 2 April 2002

Published in Journal of Mathematics. Wuhan University (Search for Journal in Brave)

zbMATH Keywords

Brownian motiondualityenlargement of filtrationinvestmentlarge investormartingaleoptimal consumptionportfoliostochastic differential equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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• Optimization of Utility for “Larger Investor” with Anticipation
• Duality in optimal consumption-investment problems with alternative data

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