A risk-sensitive stochastic control approach to an optimal investment problem with partial information
| Year of publication: |
2006
|
|---|---|
| Authors: | Hata, Hiroaki ; Iida, Yasunari |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 10.2006, 3, p. 395-426
|
| Publisher: |
Springer |
| Subject: | Large deviations | Risk-sensitive control | Optimal investment | Infinite time horizon | Partial information | Riccati equations |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005390698