A large deviations control problem on Heston market model

MaRDI QIDQ5399137zbMATH OpenFDO

Authors Yujie Cai, Chun-li Li

Publication date 28 February 2014

zbMATH Keywords

dynamic programming equationergodic risk-sensitive controlHeston market modellarge deviations control

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic programming (90C39) Portfolio theory (91G10) Financial applications of other theories (91G80)

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