Before revision:  The dynamics of these security prices are governed by geometric Brownian motions modulated by a hidden continuous time finite state Markov chain . By means of a reference probability approach to filtering in the enlarged market filtration , we reduce the partially observed stochastic control problem to a  risk sensitive control problem with full observation .
After revision:  The dynamics of these security prices are governed by geometric Brownian motions modulated by a hidden continuous time finite state Markov chain , we reduce the partially observed stochastic control problem to a risk sensitive control problem with full observation .