UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
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Publication:4649503
DOI10.1142/S0219024912500409zbMATH Open1262.91066OpenAlexW2037423440MaRDI QIDQ4649503FDOQ4649503
Publication date: 22 November 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500409
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- Title not available (Why is that?)
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Cited In (11)
- BSDEs under partial information and financial applications
- Optimal Investment-consumption for Partially Observed Jump-diffusions
- Indifference pricing of pure endowments via BSDEs under partial information
- RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR
- Utility maximization under risk constraints and incomplete information for a market with a change point
- A BSDE-based approach for the optimal reinsurance problem under partial information
- Optimal investment in markets with over and under-reaction to information
- Optimal reduction of public debt under partial observation of the economic growth
- Nonlinear Filtering for Jump Diffusion Observations
- BSDE with jumps when mean reflection is nonlinear
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
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