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zbMath1190.93106MaRDI QIDQ3560828

Fang-Fang Liu, Chengxin Luo

Publication date: 14 May 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

utility maximization filtering theory Hamilton-Jacobi-Bellman (HJB) equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

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