Partially informed investors: hedging in an incomplete market with default
DOI10.1239/jap/1445543842zbMath1345.49045OpenAlexW2124823488MaRDI QIDQ3449928
Publication date: 30 October 2015
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1445543842
dynamic programmingincomplete marketfilteringmarked point processbackward stochastic differential equationpartial informationoptimal investmentexponential utilitydefault time
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic systems in control theory (general) (93E03) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Existence of optimal solutions to problems involving randomness (49J55) Problems with incomplete information (optimization) (49N30)
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