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控制理论与应用 2005
Maximizing the expected utility from terminal wealth under the case of partial information
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Abstract:
The problem of maximizing the expected utility from terminal wealth under the case of partial information is addressed.By utilizing stochastic dynamic programming,It's formula,nonlinear filtering and martingale duality methods,the paper has found a new approach to solve such problem for general utility.Finally,the paper obtains solutions to the utility functions of hyperbolic absolute risk aversion Arrow-Pratt coefficients(HARA).
