Optimal Investment-consumption for Partially Observed Jump-diffusions

机译：部分观测跳跃扩散的最优投资消耗

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We deal with an optimal consumption-investment problem under restricted information in a financial market where the risky asset price follows a non-Markovian geometric jump-diffusion process. We assume that agents acting in the market have access only to the information flow generated by the stock price and that their individual preferences are modeled through a power utility. We solve the problem with a two steps procedure. First, by using filtering results we reduce the partial information problem to a full information one involving only observable processes. Next, by using dynamic programming, we characterize the value process and the optimal-consumption strategy in terms of solution to a backward stochastic differential equation.

机译：在金融市场中，风险资产价格服从非马尔可夫几何跳-扩散过程，我们研究了一个约束信息下的最优消费投资问题。我们假设市场中的代理只能访问由股价产生的信息流，并且他们的个人偏好是通过一个电力效用来建模的。我们用两个步骤来解决这个问题。首先，通过使用过滤结果，我们将部分信息问题简化为只涉及可观测过程的完全信息问题。接下来，通过动态规划，我们用倒向随机微分方程的解来描述价值过程和最优消费策略。

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《Seminar on Stochastic Analysis, Random Fields, and Applications》|2013年||共25页
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作者
Claudia Ceci;
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中图分类 O211.6-532;
关键词
Utility maximization; optimal stochastic control; partial information; backward stochastic differential equations; jump-diffusion processes;

机译：效用最大化;最优随机控制;部分信息;倒向随机微分方程;跳跃扩散过程;

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7. Optimal Investment-consumption for Partially Observed Jump-diffusions [C] . Claudia Ceci Seminar on Stochastic Analysis, Random Fields, and Applications . 2013

机译：部分观察到的跳跃扩散的最佳投资消耗
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Optimal Investment-consumption for Partially Observed Jump-diffusions

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