Optimal consumption-investment under partial information in conditionally log-Gaussian models

DOI10.3934/puqr.2023005OpenAlexW4327790569MaRDI QIDQ2699282

Publication date: 26 April 2023

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2023005

zbMATH Keywords

Feynman-Kac formula HJB equations forward-backward equations optimal consumption-investment problem conditionally log-Gaussian models

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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