SYSTEMS, CONTROL AND INFORMATION
Online ISSN : 2424-1806
Print ISSN : 0916-1600
ISSN-L : 0916-1600
Robustness in Mathematical Finance(<Special Issue>Understanding the Robustness)
Hideo NAGAI
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Keywords: penalty function, large deviation, down-side risk minimization, long-term investment, risk-sensitive stochastic control, H-J-B equation of ergodic type
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2011 Volume 55 Issue 4 Pages 147-152

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© 2011 The Institute of Systems, Control and Information Engineers
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