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

DOI10.4064/BC105-0-11MaRDI QIDQ5265541zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

controlled semi-martingalesHJB equationincomplete market modellarge deviation probabilitiesLegendre transformmodel uncertaintyrisk minimizationwealth process

Mathematics Subject Classification ID

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

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Cited in

(2)

• Large deviation estimates for controlled semi-martingales
• Downside risk minimization via a large deviations approach

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