Backward SDEs for control with partial information
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Publication:5743122
DOI10.1111/mafi.12174zbMath1458.91196arXiv1807.08222OpenAlexW3122283386MaRDI QIDQ5743122
Publication date: 8 May 2019
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.08222
backward stochastic differential equationsportfolio optimizationpartial informationnon-Markov control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)
Related Items (7)
Signal-to-noise matrix and model reduction in continuous-time hidden Markov models ⋮ Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Effective approximation methods for constrained utility maximization with drift uncertainty ⋮ Mean-Variance Portfolio Selection for Partially Observed Point Processes ⋮ Indifference pricing of pure endowments via BSDEs under partial information ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk
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