OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES

DOI10.1111/j.1467-9965.2009.00362.xzbMath1168.91375OpenAlexW1989537568MaRDI QIDQ3393969

Jussi Keppo, Suresh P. Sethi, Alain Bensoussan

Publication date: 28 August 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00362.x

zbMATH Keywords

inflationseparation principleZakai equationoptimal consumption and investmentstochastic control with partial observations

Mathematics Subject Classification ID

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• On the optimal filtering of diffusion processes
• A Consumption-Oriented Theory of the Demand for Financial Assets and the Term Structure of Interest Rates
• Uncertainty and Optimal Consumption Decisions
• Stochastic differential equations. An introduction with applications.

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