Optimal Investment-consumption for Partially Observed Jump-diffusions

DOI10.1007/978-3-0348-0545-2_17zbMath1281.91140MaRDI QIDQ5746531

Claudia Ceci

Publication date: 19 February 2014

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_17

zbMATH Keywords

backward stochastic differential equations; utility maximization; partial information; jump-diffusion processes; optimal stochastic control

Mathematics Subject Classification ID

91B16: Utility theory

60G35: Signal detection and filtering (aspects of stochastic processes)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J60: Diffusion processes

91G80: Financial applications of other theories

91G10: Portfolio theory

Related Items

An optimal consumption and investment problem with partial information, GKW representation theorem under restricted information: An application to risk-minimization, BSDEs under partial information and financial applications

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