Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting
DOI10.1080/07362994.2015.1009758zbMath1336.91072OpenAlexW2039956433MaRDI QIDQ5256270
Marina Santacroce, Barbara Trivellato, D. Covello, Emanuela Sasso
Publication date: 22 June 2015
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2015.1009758
backward stochastic differential equationstochastic correlationpower utility maximization problembasis risk modelinformation sufficiency
Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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