Large deviation estimates for controlled semi-martingales

DOI10.1142/9789814596534_0022zbMATH Open1344.60029OpenAlexW2487517738MaRDI QIDQ2800249FDOQ2800249

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

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
• Title not available (Why is that?)

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