A Note On Utility Maximization Under Partial Observations
AbstractUsing ideas from stochastic filtering theory and a martingale representation result of Jacod, we discuss problems of utility maximization in "dynamically incomplete" financial markets under partial observations. Copyright 1991 Blackwell Publishers.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 1 (1991)
Issue (Month): 2 ()
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