Publication:3509355
From MaRDI portal
zbMath1140.93049MaRDI QIDQ3509355
Wolfgang J. Runggaldier, Hideo Nagai
Publication date: 1 July 2008
portfolio optimization; risk-sensitive control; viscosity solutions; hidden Markov factors; HJB-equations; stochastic control under partial information
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
91G80: Financial applications of other theories
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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