Stochastic control under partial informations and applications to Finance

Authors
Laskry, JM Lions, PL
Citation
Jm. Laskry et Pl. Lions, Stochastic control under partial informations and applications to Finance, CR AC S I, 328(11), 1999, pp. 1003-1010
Citations number
28
Categorie Soggetti
Mathematics
Journal title
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE
ISSN journal
07644442 → ACNP
Volume
328
Issue
11
Year of publication
1999
Pages
1003 - 1010
Database
ISI
SICI code
0764-4442(19990601)328:11<1003:SCUPIA>2.0.ZU;2-7
Abstract
We consider here two general classes of problems arising in Mathematical Fi nance that lead to stochastic control problems with partial observations. W e solve these problems and present some examples for which explicit solutio ns can be computed. Our method of proof relies upon controlled Zakai's equa tions and the theory of viscosity solutions in infinite dimensions. (C) Aca demie des Sciences/Elsevier, Paris.