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• W60424742 abstract "We consider the problem of maximizing expected utility from terminal wealth for a power utility of the risk-averse type assuming that the dynamics of the risky assets are affected by hidden “economic factors” that evolve as a finite-state Markov process. For this partially observable stochastic control problem we determine a corresponding complete observation problem that turns out to be of the risk sensitive type and for which the Dynamic programming approach leads to a nonlinear PDE that, via a suitable transformation, can be made linear. By means of a probabilistic representation we obtain a unique viscosity solution to the latter PDE that induces a unique viscosity solution to the former. This probabilistic representation allows us to obtain, on the one hand, regularity results, on the other hand, a computational approach based on Monte Carlo simulation." @default.
• W60424742 created "2016-06-24" @default.
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• W60424742 date "2007-01-01" @default.
• W60424742 modified "2023-10-11" @default.
• W60424742 title "PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors" @default.
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• W60424742 doi "https://doi.org/10.1007/978-3-7643-8458-6_27" @default.
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