Robust estimates of certain large deviation probabilities for controlled semi-martingales (Q5265541)
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scientific article; zbMATH DE number 6466866
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| 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)
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28 July 2015
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large deviation probabilities
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controlled semi-martingales
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Legendre transform
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HJB equation
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model uncertainty
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risk minimization
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wealth process
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incomplete market model
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0.9579738
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0.9044806
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0.8887596
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0.8867105
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