15 citations · 23 across the 6 of their papers we have counts for
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math.NA2013★ 1 cited
On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations
Rüdiger Frey, Thorsten Schmidt, Ling Xu
This paper studies Galerkin approximations applied to the Zakai equation of stochastic filtering. The basic idea of this approach is to project the infinite-dimensional Zakai equat…
q-fin.PM2013
Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
Rüdiger Frey, Abdelali Gabih, Ralf Wunderlich
This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from st…