Suppose that we are given a semi-martngale whose coefficients are affected by a diffusion process and a control parameter. We are concerned with minimizing the probability that the growth rate of the semi-martingale falls below a certain level over large time. It is to be noted that the asymptotic behavior of the minimizing probability relates t...
Nagai, Hideo (Kansai University)
University of Minnesota, Institute for Mathematics and its Applications.