"Optimal Terminal Wealth Under Partial Information: Both the Drift and the ..."

Michael Taksar, Xudong Zeng (2007)

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DOI: 10.1137/050639351

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type: Journal Article

metadata version: 2020-07-09

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Michael Taksar, Xudong Zeng:
Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain. SIAM J. Control. Optim. 46(4): 1461-1482 (2007)

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