Robust estimates of certain large deviation probabilities for controlled semi-martingales
Publication:5265541
DOI10.4064/bc105-0-11zbMath1325.60027OpenAlexW2977651011MaRDI QIDQ5265541
Publication date: 28 July 2015
Published in: Banach Center Publications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4064/bc105-0-11
Legendre transformHJB equationmodel uncertaintyrisk minimizationlarge deviation probabilitiesincomplete market modelwealth processcontrolled semi-martingales
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Large deviations (60F10) Financial applications of other theories (91G80) Stochastic integral equations (60H20) Second-order parabolic equations (35K10) Portfolio theory (91G10)
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