Non-linear filtering and optimal investment under partial information for stochastic volatility models
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DOI: 10.1007/s00186-017-0609-x
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- Lakner, Peter, 1998. "Optimal trading strategy for an investor: the case of partial information," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 77-97, August.
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- Olga V. Klimova, 2016. "«A Monologue About Foreign Ships» by Sugita Genpaku," HSE Working papers WP BRP 135/HUM/2016, National Research University Higher School of Economics.
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Keywords
Partial information; Stochastic volatility; Utility maximization; Martingale duality method; Non-linear filtering; Kushner–Stratonovich equations; Semilinear partial differential equation;All these keywords.
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