Optimal consumption-investment under partial information in conditionally log-Gaussian models.

Subjects

Subjects :

HAMILTON-Jacobi-Bellman equation
MACROECONOMIC models
STOCHASTIC control theory
STOCHASTIC partial differential equations
WIENER processes
ADJOINT differential equations
STOCHASTIC differential equations

Details

Language :

English

ISSN :

20959672

Volume :

8

Issue :

1

Database :

Complementary Index

Journal :

Probability, Uncertainty & Quantitative Risk

Publication Type :

Academic Journal

Accession number :

163302692

Full Text :

https://doi.org/10.3934/puqr.2023005