Robust estimates of certain large deviation probabilities for controlled semi-martingales (Q5265541): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 20:18, 8 February 2024
scientific article; zbMATH DE number 6466866
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust estimates of certain large deviation probabilities for controlled semi-martingales |
scientific article; zbMATH DE number 6466866 |
Statements
Robust estimates of certain large deviation probabilities for controlled semi-martingales (English)
0 references
28 July 2015
0 references
large deviation probabilities
0 references
controlled semi-martingales
0 references
Legendre transform
0 references
HJB equation
0 references
model uncertainty
0 references
risk minimization
0 references
wealth process
0 references
incomplete market model
0 references
