Large deviation estimates for controlled semi-martingales

DOI10.1142/9789814596534_0022MaRDI QIDQ2800249zbMATH OpenOpenAlexFDO

Authors Hideo Nagai

Publication date 15 April 2016

Published in Festschrift Masatoshi Fukushima (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789814596534_0022

zbMATH Keywords

Hamilton-Jacobi-Bellman equationslarge deviation estimatescontrolled semi-martingalesdownside risk minimization

Mathematics Subject Classification ID

Large deviations (60F10) Generalizations of martingales (60G48)

Recommendations

• 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

Cited in

(6)

• Downside risk minimization via a large deviations approach
• Robust estimates of certain large deviation probabilities for controlled semi-martingales
• Down-side risk minimization under prescribed consumption level
• Asymptotics of the probability of minimizing ``down-side risk under partial information
• Asymptotic analysis for a downside risk minimization problem under partial information
• scientific article; zbMATH DE number 3983058 (Why is no real title available?)

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