Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Non-linear filtering and optimal investment under partial information
  for stochastic volatility models   This paper studies the question of filtering and maximizing terminal wealth
from expected utility in a partially information stochastic volatility models.
The special features is that the only information available to the investor is
the one generated by the asset prices, and the unobservable processes will be
modeled by a stochastic differential equations. Using the change of measure
techniques, the partial observation context can be transformed into a full
information context such that coefficients depend only on past history of
observed prices (filters processes). Adapting the stochastic non-linear
filtering, we show that under some assumptions on the model coefficients, the
estimation of the filters depend on a priorimodels for the trend and the
stochastic volatility. Moreover, these filters satisfy a stochastic partial
differential equations named "Kushner-Stratonovich equations". Using the
martingale duality approach in this partially observed incomplete model, we can
characterize the value function and the optimal portfolio. The main result here
is that the dual value function associated to the martingale approach can be
expressed, via the dynamic programmingapproach, in terms of the solution to a
semilinear partial differential equation. We illustrate our results with some
examples of stochastic volatility models popular in the financial literature.

35
The categories of this paper are: mtrl-th
5
The categories of this paper are: gr-qc
13
The categories of this paper are: quant-ph
3
The categories of this paper are: physics
24
The categories of this paper are: dg-ga
16
The categories of this paper are: stat
29
The categories of this paper are: funct-an
8
The categories of this paper are: hep-ex
19
The categories of this paper are: eess
22
The categories of this paper are: chao-dyn
34
The categories of this paper are: chem-ph
0
The categories of this paper are: hep-ph
30
The categories of this paper are: q-alg
4
The categories of this paper are: cond-mat
27
The categories of this paper are: comp-gas
36
The categories of this paper are: cmp-lg