Optimal portfolio, partial information and Malliavin calculus

DOI10.1080/17442500902917979zbMath1176.93081OpenAlexW1981045946MaRDI QIDQ3396071

Giulia Di Nunno, Bernt Øksendal

Publication date: 16 September 2009

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://urn.nb.no/URN:NBN:no-23537

zbMATH Keywords

stochastic controlMalliavin calculusutility maximizationoptimal portfoliopartial information

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (11)

Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment ⋮ Optimal investment and risk control for an insurer with partial information in an anticipating environment ⋮ Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information ⋮ Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework ⋮ The optimal investment, liability and dividends in insurance ⋮ Optimal proportional reinsurance and investment under partial information ⋮ Optimal investment, consumption and proportional reinsurance under model uncertainty ⋮ Short Communication: A Note on Utility Indifference Pricing with Delayed Information ⋮ HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT ⋮ On stochastic control for time changed Lévy dynamics ⋮ Mean-variance asset–liability management with partial information and uncertain time horizon

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• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES

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