“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates
| Year of publication: |
2011
|
|---|---|
| Authors: | Hata, Hiroaki |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 18.2011, 1, p. 69-87
|
| Publisher: |
Springer |
| Subject: | Large deviations control | Risk-sensitive stochastic control | Bellman equation | Long-term investment | CIR-interest rates | Bessel process with linear drift |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008926411