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Backward SDEs for control with partial information

  • Published:2018-02-18 Issue:1 Volume:29 Page:208-248
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Papanicolaou Andrew1

Affiliation:

1. Department of Finance and Risk Engineering NYU Tandon School of Engineering Brooklyn NY USA

Funder

National Science Foundation

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Cited by 12 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Short Communication: The Price of Information;SIAM Journal on Financial Mathematics;2024-08-05

2. Relative Wealth Concerns with Partial Information and Heterogeneous Priors;SIAM Journal on Financial Mathematics;2024-04-29

3. Risk-sensitive credit portfolio optimization under partial information and contagion risk;The Annals of Applied Probability;2022-08-01

4. A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management;SIAM Journal on Control and Optimization;2022-05-03

5. Effective Approximation Methods for Constrained Utility Maximization with Drift Uncertainty;Journal of Optimization Theory and Applications;2022-04-08
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