Remarks on optimal strategies to utility maximizations in continuous time incomplete markets.
Naohiro YoshidaPublished in: JSIAM Lett. (2017)
Keyphrases
- optimal strategy
- expected utility
- decision problems
- monte carlo
- utility function
- markov chain
- expected cost
- stochastic processes
- bidding strategies
- missing values
- dynamical systems
- markov processes
- uncertain information
- mathematical models
- noisy data
- enterprise systems
- optimal control
- electronic commerce
- state space
- incomplete data
- influence diagrams
- data sets
- missing data
- financial markets
- decision makers
- probability distribution
- data mining