Large deviation estimates for controlled semi-martingales (Q2800249)
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scientific article; zbMATH DE number 6569266
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large deviation estimates for controlled semi-martingales |
scientific article; zbMATH DE number 6569266 |
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Large deviation estimates for controlled semi-martingales (English)
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15 April 2016
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large deviation estimates
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controlled semi-martingales
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downside risk minimization
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Hamilton-Jacobi-Bellman equations
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This paper considers minimizing the probability that the empirical mean of a controlled semi-martingale falls below a certain level on a time horizon \(T\), and the asymptotic behavior of the minimizing probability as \(T \rightarrow \infty.\) The work is motivated by downside risk minimization on the wealth process in an incomplete market model. The derivations utilize techniques similar to those used in [the author, Ann. Appl. Probab. 22, No. 2, 608--669 (2012; Zbl 1242.91223)], but require a further analysis to obtain the duality theorem for the controlled semi-martingales.NEWLINENEWLINEFor the entire collection see [Zbl 1318.31001].
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