PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS

DOI10.1111/j.1467-9965.2006.00300.xzbMath1186.91189OpenAlexW2121011365MaRDI QIDQ5422629

Publication date: 29 October 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000012927

zbMATH Keywords

stochastic control filtering utility maximization generalized HJB equation jump-diffusion process stochastic comparison optimal portfolio strategies Bayesian control

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

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Cites Work

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