DocumentCode
1664878
Title
Anticipative stochastic control in finance
Author
Pikovsky, I. ; Karatzas, I.
Author_Institution
Dept. of Stat., Columbia Univ., New York, NY, USA
Volume
3
fYear
1994
Firstpage
2802
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/CDC.1994.411375
Filename
411375
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