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...
Creator:
Nagai, Hideo (Kansai University)
Created:
2018-05-07
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.
