MAXIMIZING THE PROBABILITY OF ACHIEVING A GOAL IN THE CASE OF A PARTIALLY OBSERVED DRIFT PROCESS

Gady Zohar ()
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Gady Zohar: Statistics Department, Columbia University, New York, NY 10027, USA

International Journal of Theoretical and Applied Finance (IJTAF), 2001, vol. 04, issue 02, 321-333

Abstract: We consider an investor with initial wealthX0

Keywords: Bayesian adaptive control; filtering; Ornstein–Uhlenbeck process; portolio optimization; goal problem; Cameron–Martin formula; Primary 93E20; Primary 93E11; Primary 90A09 (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1142/S0219024901000997

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