Optimal terminal wealth under partial information: Both the drift and the volatility driven by a discrete time Markov chain

Michael Taksar, Xudong Zeng. Optimal terminal wealth under partial information: Both the drift and the volatility driven by a discrete time Markov chain. In Proceedings of the 47th IEEE Conference on Decision and Control, CDC 2008, December 9-11, 2008, CancĂșn, MĂ©xico. pages 257-262, IEEE, 2008. [doi]

Abstract

Abstract is missing.