Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain.
Jörn SassUlrich G. HaussmannPublished in: Finance Stochastics (2004)
Keyphrases
- markov chain
- partial information
- steady state
- monte carlo
- finite state
- transition probabilities
- markov process
- stochastic process
- stationary distribution
- markov processes
- monte carlo method
- random walk
- state space
- monte carlo simulation
- incomplete information
- markov model
- transition matrix
- markov models
- cooperative
- bayesian networks