The value of information under partial information for exponential utility

DOI10.31390/JOSA.1.3.01MaRDI QIDQ6923214zbMATH OpenFDO

Authors Farai Julius Mhlanga, Mbakisi Dube

Publication date 30 September 2025

Published in Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.31390/JOSA.1.3.01

zbMATH Keywords

exponential utilityfilteringfull informationfunctionmodel parameterspartial informationvalue of information

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

Cites work

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