Robust estimates of certain large deviation probabilities for controlled semi-martingales

DOI10.4064/bc105-0-11zbMath1325.60027OpenAlexW2977651011MaRDI QIDQ5265541

Hideo Nagai

Publication date: 28 July 2015

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/bc105-0-11

zbMATH Keywords

Legendre transformHJB equationmodel uncertaintyrisk minimizationlarge deviation probabilitiesincomplete market modelwealth processcontrolled semi-martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Large deviations (60F10) Financial applications of other theories (91G80) Stochastic integral equations (60H20) Second-order parabolic equations (35K10) Portfolio theory (91G10)

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