A generalized Cameron-Martin formula with applications to partially observed dynamic portfolio optimization

Mathematical Finance

Volumn 11, Issue 4, 2001, Pages 475-494

  Zohar, Gady ^a  

^a TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

Author keywords

Bayesian adaptive control; Cameron Martin formula; Filtering; Ornstein Uhlenbeck process; Portfolio optimization

Indexed keywords

EID: 0035646130     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00125     Document Type: Article

References (14)

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