On a problem of optimal stochastic control with incomplete information

DOI10.1007/s00245-008-9036-yzbMath1161.93028OpenAlexW2131773533MaRDI QIDQ1021257

Simon Brendle

Publication date: 8 June 2009

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-008-9036-y

zbMATH Keywords

filteringoptimal stochastic control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (1)

Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting

Cites Work

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• Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
• Optimal trading strategy for an investor: the case of partial information
• Utility maximization with partial information
• Portfolio selection under incomplete information
• A Generalized Cameron–Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization
• Contrôle stochastique avec informations partielles et applications à la Finance

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