- Date: 20 Nov. (Tue) 16:30 — 18:00
- Place: the 3rd lab., W.W. 7th-floor
- Speaker: Hideo Nagai
- Title: Robust estimates of certain large deviation probabilities for controlled semi-martingales.
- Abstract:
We first give a large deviation estimate of minimizing probability of falling below a given target growth rate for a certain controlled semi-martingale. We present an expression of the limit value of the decay rate of the probabilitiy by using the legendre transform of the value of its related risk-sensitive stochastic control problem. We then show that discussions obtaining its robust estimate could be done in parallel.
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