Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain

DOI10.1137/050639351MaRDI QIDQ3516084zbMATH OpenOpenAlexFDO

Authors Xudong Zeng, Michael Taksar

Publication date 1 August 2008

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/050639351

zbMATH Keywords

CRRA utilitydynamic programmingoptimal terminal wealthpartial information

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Discrete-time Markov processes on general state spaces (60J05) Estimation and detection in stochastic control theory (93E10)

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