MAXIMIZING THE PROBABILITY OF ACHIEVING A GOAL IN THE CASE OF A PARTIALLY OBSERVED DRIFT PROCESS

DOI10.1142/S0219024901000997zbMath1153.91582OpenAlexW2047477280MaRDI QIDQ3523575

Gady Zohar

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901000997

zbMATH Keywords

Ornstein-Uhlenbeck processfilteringportfolio optimizationCameron-Martin formulaBayesian adaptive controlgoal problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

Maximizing the Probability of a Perfect Hedge in the Case of Stochastic Interest Rate

Cites Work

• Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation
• Maximizing the probability of a perfect hedge
• Optimal Control of Favorable Games with a Time Limit
• Evaluation of various Wiener integrals by use of certain Sturm-Liouville differential equations

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