Large deviation estimates for controlled semi-martingales
This paper considers minimizing the probability that the empirical mean of a controlled semi-martingale falls below a certain level on a time horizon \(T\), and the asymptotic behavior of the minimizing probability as \(T \rightarrow \infty.\) The work is motivated by downside risk minimization on the wealth process in an incomplete market model. The derivations utilize techniques similar to those used in [the author, Ann. Appl. Probab. 22, No. 2, 608--669 (2012; Zbl 1242.91223)], but require a further analysis to obtain the duality theorem for the controlled semi-martingales.NEWLINENEWLINEFor the entire collection see [Zbl 1318.31001].
- Robust estimates of certain large deviation probabilities for controlled semi-martingales
- Downside risk minimization via a large deviations approach
- Asymptotics of the probability minimizing a ``down-side risk
- Asymptotics of the probability of minimizing ``down-side risk under partial information
- Asymptotic analysis for a downside risk minimization problem under partial information
- Asymptotic analysis for a downside risk minimization problem under partial information
- Asymptotics of the probability of minimizing ``down-side risk under partial information
- Down-side risk minimization under prescribed consumption level
- scientific article; zbMATH DE number 3983058 (Why is no real title available?)
- Downside risk minimization via a large deviations approach
- Robust estimates of certain large deviation probabilities for controlled semi-martingales
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