``Down-side risk'' probability minimization problem with Cox-Ingersoll-Ross's interest rates (Q633827)
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English | ``Down-side risk'' probability minimization problem with Cox-Ingersoll-Ross's interest rates |
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``Down-side risk'' probability minimization problem with Cox-Ingersoll-Ross's interest rates (English)
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30 March 2011
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large deviations control
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risk-sensitive stochastic control
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Bellman equation
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long-term investment
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CIR-interest rates
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Bessel process with linear drift
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