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Optimal consumption–investment under partial information in conditionally log-Gaussian models

The author would like to thank the referee for giving suitable suggestions.

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  • Certain Merton type consumption−investment problems under partial information are reduced to the ones of full information and within the framework of a complete market model. Then, specializing to conditionally log−Gaussian diffusion models, concrete analysis about the optimal values and optimal strategies is performed by using analytical tools like Feynman−Kac formula, or HJB equations. The explicit solutions to the related forward-backward equations are also given.

    Mathematics Subject Classification: 35Q91, 49L20, 60H30, 93E20.

    Citation:

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