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Optimizing the terminal wealth under partial information: The drift process as a
continuous
time
Markov chain
Sass, Jörn
;
Haussmann, Ulrich
- In:
Finance and Stochastics
8
(
2004
)
4
,
pp. 553-577
of return modeled as a
continuous
time
Markov chain with finitely many states. Partial observation means that only the …
Persistent link: https://www.econbiz.de/10005613381
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