Contrôle stochastique avec informations partielles et applications à la Finance

DOI10.1016/S0764-4442(99)80314-0zbMath0937.93058OpenAlexW1996451487MaRDI QIDQ4260062

Jean-Michel Lasry, Pierre-Louis Lions

Publication date: 7 June 2000

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(99)80314-0

zbMATH Keywords

financial mathematicspartial observationsstochastic control problemsinfinite-dimensional Hamilton-Jacobi equationviscosity solutions in infinite dimensionscontrolled Zakai's equationspricing and hedging of European options

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (8)

Optimal portfolio in partially observed stochastic volatility models. ⋮ A maximum principle for controlled stochastic factor model ⋮ Forecasting trends with asset prices ⋮ An Introduction to Particle Methods with Financial Applications ⋮ Incomplete information equilibria: separation theorems and other myths ⋮ Portfolio selection under incomplete information ⋮ On a problem of optimal stochastic control with incomplete information ⋮ LQ control of forward and backward stochastic difference system

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