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Non-linear filtering and optimal investment under partial information for stochastic volatility models.

Dalia IbrahimFrédéric Abergel
Published in: Math. Methods Oper. Res. (2018)
Keyphrases
  • partial information
  • stochastic models
  • investment strategies
  • upper bound
  • incomplete information
  • knowledge base
  • multi agent
  • optimal solution
  • general purpose
  • historical data