Robust estimates of certain large deviation probabilities for controlled semi-martingales (Q5265541)

From MaRDI portal
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
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references