An optimal consumption and investment problem with partial information
DOI10.1017/apr.2018.7zbMath1434.91060OpenAlexW2791640770WikidataQ130102202 ScholiaQ130102202MaRDI QIDQ5214995
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Publication date: 5 February 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/apr.2018.7
Hamilton-Jacobi-Bellman equationpartial informationHARA utilityoptimal consumption and investmentstochastic factor model
Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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Cites Work
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