Ergodic control problems on the whole Euclidean space and convergence of symmetric diffusions.
Robust estimates of certain large deviation probabilities for controlled semi-martingales
Motivated by downside risk minimization on the wealth process in an incomplete market model, we have studied in the recent work the asymptotic behavior as time horizon T → ∞ of the minimizing probability that the empirical mean of a controlled semi-martingale falls below a certain level on the time horizon T. This asymptotic behavior relates to a risk-sensitive stochastic control problem in the risk-averse case. Indeed, we obtained an expression of the decay rate of the probability by the Legendre...
Page 1