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Expected log-utility maximization under incomplete information and with Cox-process observations
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. - In: Asia-Pacific financial markets 21 (2014) 1, pp. 35-66
Persistent link: https://www.econbiz.de/10010358462
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On filtering in Markovian term structure models (an approximation approach)
Chiarella, Carl; Pasquali, Sara; Runggaldier, Wolfgang J. - 2001
Persistent link: https://www.econbiz.de/10001732804
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Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Finance and stochastics 14 (2010) 4, pp. 495-526
Persistent link: https://www.econbiz.de/10008823701
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On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
Lleo, Sébastien; Runggaldier, Wolfgang J. - In: European journal of operational research : EJOR 316 (2024) 1, pp. 200-214
Persistent link: https://www.econbiz.de/10014573970