Sass, Jörn; Haussmann, Ulrich - In: Finance and Stochastics 8 (2004) 4, pp. 553-577
We consider a multi-stock market model where prices satisfy a stochastic differential equation with instantaneous rates of return modeled as a continuous time Markov chain with finitely many states. Partial observation means that only the prices are observable. For the investor’s objective of...