A risk-sensitive stochastic control approach to an optimal investment problem with partial information

DOI10.1007/s00780-006-0010-8zbMath1101.91037OpenAlexW1972689466MaRDI QIDQ854287

Hiroaki Hata, Yasunari Iida

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0010-8

zbMATH Keywords

large deviationsRiccati equationrisk-sensitive controlinfinite time horizonpartial informationoptimal investment

Mathematics Subject Classification ID

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