Optimal Investment-consumption for Partially Observed Jump-diffusions

DOI10.1007/978-3-0348-0545-2_17zbMath1281.91140OpenAlexW163440765MaRDI QIDQ5746531

Claudia Ceci

Publication date: 19 February 2014

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_17

zbMATH Keywords

backward stochastic differential equationsutility maximizationpartial informationjump-diffusion processesoptimal stochastic control

Mathematics Subject Classification ID

Utility theory (91B16) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (3)

BSDEs under partial information and financial applications ⋮ GKW representation theorem under restricted information: An application to risk-minimization ⋮ An optimal consumption and investment problem with partial information

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