Proactive and Reactive Investments via Meyer-σ-fields


Stochastic control problems search optimal strategies given some information flow. Imagine a moment information is known to become available. Controller will make a precautionary action right before and a reaction right... [ view full abstract ]


  1. David Besslich (TU Berlin)
  2. Peter Bank (TU Berlin)

Topic Areas

Optimal Investment , Optimal Stopping , Stochastic Analysis


FR-A-SY » Dynamic Information (10:00 - Friday, 20th July, Synge)

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