Optimal consumption–investment under partial information in conditionally log-Gaussian models
نویسندگان
چکیده
Certain Merton type consumption−investment problems under partial information are reduced to the ones of full and within framework a complete market model. Then, specializing conditionally log−Gaussian diffusion models, concrete analysis about optimal values strategies is performed by using analytical tools like Feynman−Kac formula, or HJB equations. The explicit solutions related forward-backward equations also given.
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ژورنال
عنوان ژورنال: Probability, Uncertainty and Quantitative Risk
سال: 2023
ISSN: ['2367-0126', '2095-9672']
DOI: https://doi.org/10.3934/puqr.2023005