“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates

Hiroaki Hata ()

Asia-Pacific Financial Markets, 2011, vol. 18, issue 1, 69-87

Keywords: Large deviations control; Risk-sensitive stochastic control; Bellman equation; Long-term investment; CIR-interest rates; Bessel process with linear drift (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10690-010-9121-5

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