Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter

DOI10.1137/S036301290342557XzbMath1110.49025arXiv0804.4522MaRDI QIDQ3427520

Nikolai G. Dokuchaev

Publication date: 20 March 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.4522

zbMATH Keywords

Kalman filteroptimal portfoliononobservable parameters

Mathematics Subject Classification ID

Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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