From Quantile Hedging to Large Deviations Controls in the Long Run
Prof. Jun SekineOsaka University, Japan 下午 1:30–2:30 鴻經館 107 室Abstract:
A new approach to large deviations controls with long horizon is proposed. Starting from quantile hedging result in complete market, and computing its long time asymptotics, we re-derive solutions to two types of large deviations controls problems in a unified way: i.e., upside-chance maximization and downside-risk minimization.