Optimal portfolio, partial information and Malliavin calculus
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Publication:3396071
DOI10.1080/17442500902917979zbMATH Open1176.93081OpenAlexW1981045946MaRDI QIDQ3396071FDOQ3396071
Authors: Giulia Di Nunno, B. Øksendal 
Publication date: 16 September 2009
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://urn.nb.no/URN:NBN:no-23537
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Stochastic calculus of variations and the Malliavin calculus (60H07) Optimal stochastic control (93E20)
Cites Work
- Applications of Malliavin calculus to Monte Carlo methods in finance
- The Malliavin Calculus and Related Topics
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- Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
- Lévy Processes and Stochastic Calculus
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
- On Lévy processes, Malliavin calculus and market models with jumps
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
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- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Chaotic and predictable representations for Lévy processes.
- Anticipative calculus for Lévy processes and stochastic differential equations*
- Partial observation control in an anticipating environment
Cited In (16)
- Portfolio optimization based on generalized information theoretic measures
- An anticipative stochastic calculus approach to pricing in markets driven by Lévy process
- Short communication: A note on utility indifference pricing with delayed information
- Optimal proportional reinsurance and investment under partial information
- Mean-variance asset-liability management with inside information
- The optimal investment, liability and dividends in insurance
- Market viability and martingale measures under partial information
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework
- 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
- Hedge-fund management with liquidity constraint
- Mean-variance asset-liability management with partial information and uncertain time horizon
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- On stochastic control for time changed Lévy dynamics
- Title not available (Why is that?)
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