Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain.
Michael TaksarXudong ZengPublished in: SIAM J. Control. Optim. (2007)
Keyphrases
- markov chain
- partial information
- steady state
- finite state
- incomplete information
- markov processes
- markov process
- transition probabilities
- monte carlo method
- random walk
- monte carlo
- stationary distribution
- markov model
- state space
- monte carlo simulation
- dynamic programming
- transition matrix
- investment strategies
- stock price
- average cost
- optimal control
- stock market
- closed form
- markov chain monte carlo
- maximum likelihood
- multi agent