Optimal terminal wealth under partial information: Both the drift and the volatility driven by a discrete time Markov chain.
Michael TaksarXudong ZengPublished in: CDC (2008)
Keyphrases
- markov chain
- partial information
- finite state
- steady state
- incomplete information
- random walk
- monte carlo
- transition probabilities
- markov process
- markov model
- stationary distribution
- monte carlo method
- state space
- markov processes
- monte carlo simulation
- transition matrix
- average cost
- optimal solution
- stock price
- domain independent
- domain specific
- investment strategies
- gibbs sampler