Utility maximization under risk constraints and incomplete information for a market with a change point
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Publication:5373913
DOI10.1080/1350486X.2017.1409080zbMath1398.91260arXiv1610.08644OpenAlexW2771104912MaRDI QIDQ5373913
Publication date: 6 April 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.08644
Applications of optimal control and differential games (49N90) Brownian motion (60J65) Utility theory (91B16) Martingales with continuous parameter (60G44)
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