A generalized Cameron-Martin formula with applications to partially observed dynamic portfolio optimization. (Q2770984)
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scientific article; zbMATH DE number 1704436
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A generalized Cameron-Martin formula with applications to partially observed dynamic portfolio optimization. |
scientific article; zbMATH DE number 1704436 |
Statements
2001
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Bayesian adaptive control
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filtering
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Ornstein-Uhlenbeck process
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A generalized Cameron-Martin formula with applications to partially observed dynamic portfolio optimization. (English)
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