Hide metadata

dc.date.accessioned2013-03-12T08:18:54Z
dc.date.available2013-03-12T08:18:54Z
dc.date.issued2001en_US
dc.date.submitted2010-02-19en_US
dc.identifier.urihttp://hdl.handle.net/10852/10688
dc.description.abstractWe 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).eng
dc.language.isoengen_US
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.uri
dc.titleAn introduction to optimal consumption with partial observation.en_US
dc.typeResearch reporten_US
dc.date.updated2011-11-18en_US
dc.creator.authorLèfevre, Daviden_US
dc.creator.authorØksendal, Bernten_US
dc.creator.authorSulem, Agnèsen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-24276en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo99375en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10688/1/pm01-01.pdf


Files in this item

Appears in the following Collection

Hide metadata