Non linear filtering and optimal investment under partial information for stochastic volatility models
Year of publication: |
2014-07-01
|
---|---|
Authors: | Ibrahim, Dalia ; Abergel, Frédéric |
Institutions: | HAL |
Subject: | Partial information | stochastic volatility | utility maximization | non-linear filtering | Kushner-Stratonovich | infinite dimensional systems | dynamic programming |
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