PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
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Publication:5422629
DOI10.1111/j.1467-9965.2006.00300.xzbMath1186.91189MaRDI QIDQ5422629
Publication date: 29 October 2007
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://publikationen.bibliothek.kit.edu/1000012927
stochastic control; filtering; utility maximization; generalized HJB equation; jump-diffusion process; stochastic comparison; optimal portfolio strategies; Bayesian control
93E11: Filtering in stochastic control theory
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
91G10: Portfolio theory
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