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An introduction to optimal consumption with partial observation.

Lèfevre, David; Øksendal, Bernt; Sulem, Agnès
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pm01-01.pdf (194.7Kb)
Year
2001
Permanent link
http://urn.nb.no/URN:NBN:no-24276

Is part of
Preprint series. Pure mathematics
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  • Matematisk institutt [2422]
Abstract
We give a short introduction to some of the theory and methods involved in stochastic control with partial observation. As an illustration we use the stochastic maximum principle and the Kalman-Bucy filter to solve explicitly a problem about optimal consumption in an economy where the mean relative growth rate is only observed indirectly (partially).
 
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