Control and large deviations of some affine stochastic models / vorgelegt von Mariem Abdellatif. Wuppertal, 2025
Inhalt
- 1 Introduction
- 2 A large deviations principle for time averages of continuous-state branching processes with immigration
- 2.1 Affine processes
- 2.2 Stochastic representation of CBI processes
- 2.3 Moments of the CBI process
- 2.4 Long-term asymptotics of the time-averaged subcritical CBI-process
- 3 Risk-Sensitive Asset Management under an α-CIR Factor Model
- 3.1 Market model with α-CIR Factor
- 3.2 Risk-Sensitive Asset Management (RSAM)
- 3.3 Formal derivation of the HJB equation for the RSAM problem
- 3.4 Existence of a classical C1,2 solution
- 3.5 Verification Theorem
- A Large deviation Principle
- B Affine processes
- C Additional preliminaries
- Bibliography