A Stochastic Maximum Principle and Cox, Ingersoll, Ross Interest Rate Model for an Optimal Investment under Partial Information

Eric. K. Tatiagoum
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Eric. K. Tatiagoum: Department of Mathematics and Computer science, Department of Economics Policy and Analysis (2018), University of Dschang, Department of Computer science and Telecommunications, Engineering Higher National School, University of Maroua (2014), P.O. Box 242, Dschang, Cameroon

Economics and Applied Informatics, 2022, issue 3, 157-177

Keywords: Cox; Ingersoll; Ross (CIR) interest rate model; partial information; optimal investment; risk; stochastic maximum principle; Stochastic partial differential equation; Stochastic interest rate; Zakai equation. (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:ddj:fseeai:y:2022:i:3:p:157-177

DOI: 10.35219/eai15840409300

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