Large deviation estimates for controlled semi-martingales

DOI10.1142/9789814596534_0022zbMATH Open1344.60029OpenAlexW2487517738MaRDI QIDQ2800249

Hideo Nagai

Publication date: 15 April 2016

Published in: Festschrift Masatoshi Fukushima (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814596534_0022

zbMATH Keywords

Hamilton-Jacobi-Bellman equationslarge deviation estimatescontrolled semi-martingalesdownside risk minimization

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Large deviations (60F10)

Related Items (2)

Title not available (Why is that?) ⋮ Robust estimates of certain large deviation probabilities for controlled semi-martingales

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