Non-linear filtering and optimal investment under partial information for stochastic volatility models
Dalia Ibrahim, Frédérik Abergel
| Year of publication: |
June 2018
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|---|---|
| Authors: | Ibrahim, Dalia ; Abergel, Frédérik |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 87.2018, 3, p. 311-346
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| Subject: | Partial information | Stochastic volatility | Utility maximization | Martingale duality method | Non-linear filtering | Kushner-Stratonovich equations | Semilinear partial differential equation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Unvollkommene Information | Incomplete information | Martingal | Martingale | Portfolio-Management | Portfolio selection | Nichtlineare Regression | Nonlinear regression |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0609-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011874006