{"id":"https://openalex.org/W60424742","doi":"https://doi.org/10.1007/978-3-7643-8458-6_27","title":"PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors","display_name":"PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W60424742","doi":"https://doi.org/10.1007/978-3-7643-8458-6_27","mag":"60424742"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-7643-8458-6_27","doi":"https://doi.org/10.1007/978-3-7643-8458-6_27","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-7643-8458-6_27","pdf_url":null,"source":{"id":"https://openalex.org/S4210182306","display_name":"Progress in probability","issn_l":"1050-6977","issn":["1050-6977","2297-0428"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","norway-1"],"host_organization":"https://openalex.org/P4310319972","host_organization_name":"Springer International Publishing","host_organization_lineage":["https://openalex.org/P4310319972","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer International Publishing","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Progress in Probability","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W4250311551","display_name":"Seminar on Stochastic Analysis, Random Fields and Applications V"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5109501973","display_name":"Hideo Nagai","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I98285908","display_name":"The University of Osaka","ror":"https://ror.org/035t8zc32","country_code":"JP","type":"education","lineage":["https://openalex.org/I98285908"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Hideo Nagai","raw_affiliation_strings":["Department of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka, 560-8531, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka, 560-8531, Japan","institution_ids":["https://openalex.org/I98285908"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5111735137","display_name":"Wolfgang J. Runggaldier","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I138689650","display_name":"University of Padua","ror":"https://ror.org/00240q980","country_code":"IT","type":"education","lineage":["https://openalex.org/I138689650"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Wolfgang J. Runggaldier","raw_affiliation_strings":["Dipartimento di Matematica Pura ed Applicata, Universita degli Studi di Padova, Via Trieste, 63, 35121, Padova, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dipartimento di Matematica Pura ed Applicata, Universita degli Studi di Padova, Via Trieste, 63, 35121, Padova, Italy","institution_ids":["https://openalex.org/I138689650"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":5.418,"has_fulltext":false,"cited_by_count":37,"citation_normalized_percentile":{"value":0.96621622,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"493","last_page":"506"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/utility-maximization","display_name":"utility maximization","score":0.9110000133514404},{"id":"https://openalex.org/keywords/electricity-sector","display_name":"electric utilities","score":0.6639999747276306},{"id":"https://openalex.org/keywords/risk-sensitive-control","display_name":"risk-sensitive control","score":0.8349999785423279},{"id":"https://openalex.org/keywords/nonlinear-partial-differential-equations","display_name":"nonlinear partial differential equations","score":0.7789999842643738},{"id":"https://openalex.org/keywords/linearization","display_name":"linearization","score":0.5659999847412109},{"id":"https://openalex.org/keywords/viscosity-solutions","display_name":"viscosity solutions","score":0.9359999895095825},{"id":"https://openalex.org/keywords/probabilistic-representation","display_name":"probabilistic representation","score":0.9390000104904175},{"id":"https://openalex.org/keywords/regularity-results","display_name":"regularity results","score":0.7360000014305115},{"id":"https://openalex.org/keywords/monte-carlo-simulation","display_name":"Monte Carlo simulation","score":0.7559999823570251},{"id":"https://openalex.org/keywords/market-model","display_name":"market model","score":0.593999981880188}],"concepts":[{"id":"https://openalex.org/C49937458","wikidata":"https://www.wikidata.org/wiki/Q2599292","display_name":"Probabilistic logic","level":2,"score":0.7136037349700928},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6252278089523315},{"id":"https://openalex.org/C106189395","wikidata":"https://www.wikidata.org/wiki/Q176789","display_name":"Markov decision process","level":3,"score":0.5885219573974609},{"id":"https://openalex.org/C2776359362","wikidata":"https://www.wikidata.org/wiki/Q2145286","display_name":"Representation (politics)","level":3,"score":0.5646084547042847},{"id":"https://openalex.org/C17098449","wikidata":"https://www.wikidata.org/wiki/Q176814","display_name":"Partially observable Markov decision process","level":4,"score":0.5632803440093994},{"id":"https://openalex.org/C32848918","wikidata":"https://www.wikidata.org/wiki/Q845789","display_name":"Observable","level":2,"score":0.5325941443443298},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.5213643312454224},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4999997615814209},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.4985165596008301},{"id":"https://openalex.org/C2776330181","wikidata":"https://www.wikidata.org/wiki/Q18358244","display_name":"Maximization","level":2,"score":0.44023141264915466},{"id":"https://openalex.org/C204241405","wikidata":"https://www.wikidata.org/wiki/Q461499","display_name":"Transformation (genetics)","level":3,"score":0.4181114137172699},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3396915793418884},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.08524394035339355},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/978-3-7643-8458-6_27","doi":"https://doi.org/10.1007/978-3-7643-8458-6_27","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-7643-8458-6_27","pdf_url":null,"source":{"id":"https://openalex.org/S4210182306","display_name":"Progress in probability","issn_l":"1050-6977","issn":["1050-6977","2297-0428"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","norway-1"],"host_organization":"https://openalex.org/P4310319972","host_organization_name":"Springer International Publishing","host_organization_lineage":["https://openalex.org/P4310319972","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer International Publishing","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Progress in Probability","raw_type":"book-chapter"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.330.4555","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.330.4555","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.math.unipd.it/~runggal/rung-nag-mv-rev.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/8","score":0.5199999809265137,"display_name":"Decent work and economic growth"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W143266464","https://openalex.org/W347146154","https://openalex.org/W407042200","https://openalex.org/W1483382787","https://openalex.org/W1494628843","https://openalex.org/W1806056116","https://openalex.org/W1963921091","https://openalex.org/W1979086582","https://openalex.org/W1983973130","https://openalex.org/W1993990934","https://openalex.org/W1996175061","https://openalex.org/W2055467451","https://openalex.org/W2059402723","https://openalex.org/W2071723512","https://openalex.org/W2076652525","https://openalex.org/W2094174937","https://openalex.org/W2099264463","https://openalex.org/W2110607806","https://openalex.org/W2134807435","https://openalex.org/W2154714973","https://openalex.org/W2477932633","https://openalex.org/W3146331408","https://openalex.org/W4229844634","https://openalex.org/W4250889750"],"related_works":["https://openalex.org/W350558889","https://openalex.org/W1487678149","https://openalex.org/W652129257","https://openalex.org/W2071600828","https://openalex.org/W3121449725","https://openalex.org/W2061506349","https://openalex.org/W2284869551","https://openalex.org/W2085138102","https://openalex.org/W4407075212","https://openalex.org/W3100406836"],"abstract_inverted_index":{"We":[0],"consider":[1],"the":[2,16,21,24,60,67,98,108,118,124],"problem":[3,46,53],"of":[4,15,23,59,87],"maximizing":[5],"expected":[6],"utility":[7,14],"from":[8],"terminal":[9],"wealth":[10],"for":[11,65],"a":[12,36,49,73,78,88,93,103,127],"power":[13],"risk-averse":[17],"type":[18,63],"assuming":[19],"that":[20,33,54,101],"dynamics":[22],"risky":[25],"assets":[26],"are":[27],"affected":[28],"by":[29],"hidden":[30],"\u201ceconomic":[31],"factors\u201d":[32],"evolve":[34],"as":[35],"finite-state":[37],"Markov":[38],"process.":[39],"For":[40],"this":[41],"partially":[42],"observable":[43],"stochastic":[44],"control":[45],"we":[47,91],"determine":[48],"corresponding":[50],"complete":[51],"observation":[52],"turns":[55],"out":[56],"to":[57,72,97,107,115],"be":[58,82],"risk":[61],"sensitive":[62],"and":[64],"which":[66],"Dynamic":[68],"programming":[69],"approach":[70,129],"leads":[71],"nonlinear":[74],"PDE":[75,100],"that,":[76],"via":[77],"suitable":[79],"transformation,":[80],"can":[81],"made":[83],"linear.":[84],"By":[85],"means":[86],"probabilistic":[89,111],"representation":[90,112],"obtain":[92],"unique":[94,104],"viscosity":[95,105],"solution":[96,106],"latter":[99],"induces":[102],"former.":[109],"This":[110],"allows":[113],"us":[114],"obtain,":[116],"on":[117,123,131],"one":[119],"hand,":[120,126],"regularity":[121],"results,":[122],"other":[125],"computational":[128],"based":[130],"Monte":[132],"Carlo":[133],"simulation.":[134]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
