Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain

Finance and Stochastics

Volumn 8, Issue 4, 2004, Pages 553-577

  Sass, Jörn ^a   Haussmann, Ulrich G ^b  

^a JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS   (Austria)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Continuous time Markov chain; HMM filtering; Partial information; Portfolio optimization; Stochastic interest rates

Indexed keywords

EID: 23944458013     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0132-9     Document Type: Article

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