Dynamic credit investment in partially observed markets

DOI10.1007/s00780-015-0272-0zbMath1323.93073arXiv1303.2950MaRDI QIDQ889624

José E. Figueroa-López, Andrea Pascucci, Agostino Capponi

Publication date: 9 November 2015

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

Full work available at URL: https://arxiv.org/abs/1303.2950

zbMATH Keywords

hidden Markov chain; filtering; risk-sensitive control; partial information; default risk

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

49L20: Dynamic programming in optimal control and differential games

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

93E20: Optimal stochastic control

91G10: Portfolio theory