Optimal consumption-investment under partial information in conditionally log-Gaussian models

被引：0
|
作者：
Nagai, Hideo [1 ]
机构：
[1] Osaka Univ, MMDS, Toyonaka, Osaka 5608531, Japan
来源：
PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK | 2023年 / 8卷 / 01期
关键词：
Optimal consumption-investment problem; Conditionally log-Gaussian models; HJB equations; Feynman-Kac formula; Forward-backward equations; OPTIMAL STOCHASTIC-CONTROL; PORTFOLIO OPTIMIZATION PROBLEMS; JACOBI-BELLMAN EQUATION; RISK-SENSITIVE CONTROL; DIFFERENTIAL-EQUATIONS; UTILITY MAXIMIZATION; PRINCIPLE; SYSTEMS;
D O I：
10.3934/puqr.2023005
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Certain Merton type consumption-investment problems under partial information are reduced to the ones of full information and within the framework of a complete market model. Then, specializing to conditionally log-Gaussian diffusion models, concrete analysis about the optimal values and optimal strategies is performed by using analytical tools like Feynman-Kac formula, or HJB equations. The explicit solutions to the related forward-backward equations are also given.
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页码：95 / 120
页数：26
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