Asymptotic analysis for a downside risk minimization problem under partial information

DOI10.1016/J.SPA.2012.11.005zbMath1258.91113OpenAlexW2017954917MaRDI QIDQ1940242

Yûsuke Watanabe

Publication date: 6 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.11.005

zbMATH Keywords

hidden Markov modellarge deviationsrisk-sensitive controldegenerate ergodic HJB equationnonlinear filtering equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Degenerate elliptic equations (35J70) Large deviations (60F10) Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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