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

DOI10.4064/BC105-0-11zbMATH Open1325.60027OpenAlexW2977651011MaRDI QIDQ5265541FDOQ5265541

Authors: 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

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zbMATH Keywords

model uncertaintyHJB equationLegendre transformrisk minimizationlarge deviation probabilitiesincomplete market modelwealth processcontrolled semi-martingales

Mathematics Subject Classification ID

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

Cited In (1)

• Downside risk minimization via a large deviations approach

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