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−Gaus...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.展开更多
文摘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.
