A Note On Utility Maximization Under Partial Observations1

Ioannis Karatzas and Xlng‐Xlong Xue

Mathematical Finance, 1991, vol. 1, issue 2, 57-70

Abstract: Using ideas from stochastic filtering theory and a martingale representation result of Jacod, we discuss problems of utility maximization in “dynamically incomplete” financial markets under partial observations.

Date: 1991
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