Robust estimates of certain large deviation probabilities for controlled semi-martingales (Q5265541)
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scientific article; zbMATH DE number 6466866
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust estimates of certain large deviation probabilities for controlled semi-martingales |
scientific article; zbMATH DE number 6466866 |
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Robust estimates of certain large deviation probabilities for controlled semi-martingales (English)
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28 July 2015
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large deviation probabilities
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controlled semi-martingales
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Legendre transform
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HJB equation
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model uncertainty
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risk minimization
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wealth process
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incomplete market model
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