UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION

DOI10.1017/S0269964810000239zbMath1209.91188OpenAlexW2071600828MaRDI QIDQ5392602

Paola Tardelli

Publication date: 13 April 2011

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964810000239

Mathematics Subject Classification ID

Utility theory (91B16) Financial applications of other theories (91G80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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