| dc.date.accessioned | 2013-03-12T08:18:54Z | |
| dc.date.available | 2013-03-12T08:18:54Z | |
| dc.date.issued | 2001 | en_US |
| dc.date.submitted | 2010-02-19 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10688 | |
| dc.description.abstract | We give a short introduction to some of the theory and methods involved in stochastic control with partial observation. As an illustration we use the stochastic maximum principle and the Kalman-Bucy filter to solve explicitly a problem about optimal consumption in an economy where the mean relative growth rate is only observed indirectly (partially). | eng |
| dc.language.iso | eng | en_US |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | | |
| dc.rights | © The Author(s) (2001). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | An introduction to optimal consumption with partial observation. | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2011-11-18 | en_US |
| dc.rights.holder | Copyright 2001 The Author(s) | |
| dc.creator.author | Lèfevre, David | en_US |
| dc.creator.author | Øksendal, Bernt | en_US |
| dc.creator.author | Sulem, Agnès | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-24276 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 99375 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10688/1/pm01-01.pdf | |