Optimal consumption choices with anticipation: Methods of martingale

zbMATH Open0992.91049MaRDI QIDQ2744547FDOQ2744547

Rangquan Wu, Weiyin Fei, Shaofu Zhou

Publication date: 2 April 2002

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

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zbMATH Keywords

martingaleportfoliostochastic differential equationBrownian motioninvestmentdualityenlargement of filtrationoptimal consumptionlarge investor

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

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