Exponential utility maximization under partial information

Michael Mania () and Marina Santacroce ()

Finance and Stochastics, 2010, vol. 14, issue 3, 419-448

Keywords: Backward stochastic differential equation; Semimartingale market model; Exponential utility maximization problem; Partial information; sufficient filtration; 90A09; 60H30; 90C39; C61; G11 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s00780-009-0114-z

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