Long Time Asymptotics for Optimal Investment (Q4560343)
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scientific article; zbMATH DE number 6991899
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Long Time Asymptotics for Optimal Investment |
scientific article; zbMATH DE number 6991899 |
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Long Time Asymptotics for Optimal Investment (English)
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11 December 2018
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long-term investment
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large deviations
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risk-sensitive control
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ergodic HJB equation
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risk-sensitive control problems
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Hamilton-Jacobi-Bellman equations
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large-time asymptotic
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