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A Note On Utility Maximization Under Partial Observations 1
Author(s) -
Karatzas Ioannis,
Xue XlngXlong
Publication year - 1991
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.1991.tb00009.x
Subject(s) - martingale (probability theory) , utility maximization , incomplete markets , utility maximization problem , maximization , mathematical economics , economics , econometrics , financial market , representation (politics) , mathematics , microeconomics , finance , politics , political science , law
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.