A risk-sensitive stochastic control approach to an optimal investment problem with partial information.
Hiroaki HataYasunari IidaPublished in: Finance Stochastics (2006)
Keyphrases
- optimal control
- risk sensitive
- stochastic control
- partial information
- control problems
- brownian motion
- incomplete information
- dynamic programming
- infinite horizon
- queueing systems
- optimality criterion
- reinforcement learning
- control strategy
- control policies
- linear programming
- decision making
- average cost
- utility function
- orders of magnitude
- optimal solution