3 papers
q-fin.PM2024
Optimal Investment with Costly Expert Opinions
Christoph Knochenhauer, Alexander Merkel, Yufei Zhang
We consider the Merton problem of optimizing expected power utility of terminal wealth in the case of an unobservable Markov-modulated drift. What makes the model special is that t…
math.OC2024
Continuous-Time Dynamic Decision Making with Costly Information
Christoph Knochenhauer, Alexander Merkel, Yufei Zhang
We consider a continuous-time linear-quadratic Gaussian control problem with partial observations and costly information acquisition. More precisely, we assume the drift of the sta…
math.OC2023
Optimal adaptive control with separable drift uncertainty
Samuel N. Cohen, Christoph Knochenhauer, Alexander Merkel
We consider a problem of stochastic optimal control with separable drift uncertainty in strong formulation on a finite horizon. The drift coefficient of the state is multip…