Portfolio evaluation and optimization in a diffusion model with partial observation jumps: theoretical and numerical aspects.

Summary This thesis focuses on portfolio optimization in partial observations. The work is organized in three parts that analyze the following topics: Part 1. Portfolio optimization in partial observations in a diffusion model with jumps. Part 2. Indifference pricing in partial observations in a diffusion model with jumps. Part 3. Numerical approximation by quantization of discrete time control problems with partial observations and applications in finance. In the first two parts we consider the case of continuous time observations while in the third we analyze the case of discrete time observations.