Title :
Anticipative stochastic control in finance
Author :
Pikovsky, I. ; Karatzas, I.
Author_Institution :
Dept. of Stat., Columbia Univ., New York, NY, USA
Abstract :
Studies the stochastic control problem of maximizing expected logarithmic utility from terminal wealth and/or consumption, when the portfolio is allowed to anticipate the future; i.e., when the terminal values of the prices or of the driving Brownian motion are known to the investor, either exactly or with some noise. Results on the finiteness of the value of the control problem in various setups are obtained, using techniques from the so-called enlargement of filtrations
Keywords :
Brownian motion; finance; investment; stochastic systems; anticipative stochastic control; consumption; driving Brownian motion; enlargement of filtrations; expected logarithmic utility; finance; investor; prices; terminal wealth; Bonding; Brownian motion; Differential equations; Finance; Motion control; Portfolios; Statistics; Stochastic processes; Stochastic resonance; Utility theory;
Conference_Titel :
Decision and Control, 1994., Proceedings of the 33rd IEEE Conference on
Conference_Location :
Lake Buena Vista, FL
Print_ISBN :
0-7803-1968-0
DOI :
10.1109/CDC.1994.411375
