Asymptotics of the probability minimizing a quot;down-sidequot; risk

Annals of Applied Probability

Volumn 20, Issue 1, 2010, Pages 52-89

  Hata, Hiroaki ^a,b   Nagai, Hideo ^a   Sheu, Shuenn Jyi ^a  

^a OSAKA UNIVERSITY   (Japan)

^b ACADEMIA SINICA   (Taiwan)

Author keywords

Bellman equation; Large deviation; Long term investment; Risk sensitive stochastic control

Indexed keywords

EID: 76449112991     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/09-AAP618     Document Type: Article

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