A risk-sensitive stochastic control approach to an optimal investment problem with partial information

Hiroaki Hata () and Yasunari Iida

Finance and Stochastics, 2006, vol. 10, issue 3, 395-426

Keywords: Large deviations; Risk-sensitive control; Optimal investment; Infinite time horizon; Partial information; Riccati equations; 91B28; 93E11; 93E20; D81; G11 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s00780-006-0010-8

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