Optimal portfolio, partial information and Malliavin calculus
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Cites work
- scientific article; zbMATH DE number 1014073 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- Anticipative calculus for Lévy processes and stochastic differential equations*
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Chaotic and predictable representations for Lévy processes.
- Lévy Processes and Stochastic Calculus
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- On Lévy processes, Malliavin calculus and market models with jumps
- Partial observation control in an anticipating environment
- Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
- The Malliavin Calculus and Related Topics
Cited in
(16)- scientific article; zbMATH DE number 5919882 (Why is no real title available?)
- An anticipative stochastic calculus approach to pricing in markets driven by Lévy process
- Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment
- Optimal investment, consumption and proportional reinsurance under model uncertainty
- Market viability and martingale measures under partial information
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- On stochastic control for time changed Lévy dynamics
- Hedge-fund management with liquidity constraint
- Mean-variance asset-liability management with partial information and uncertain time horizon
- Optimal proportional reinsurance and investment under partial information
- The optimal investment, liability and dividends in insurance
- Short communication: A note on utility indifference pricing with delayed information
- Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- Portfolio optimization based on generalized information theoretic measures
- Mean-variance asset-liability management with inside information
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