Journal article
Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
- Abstract:
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We develop a technique based on Malliavin-Bismut calculus ideas, for asymptotic expansion of dual control problems arising in connection with exponential indifference valuation of claims, and with minimisation of relative entropy, in incomplete markets. The problems involve optimisation of a functional of Brownian paths on Wiener space, with the paths perturbed by a drift involving the control. In addition there is a penalty term in which the control features quadratically. The drift perturba...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Accepted manuscript, pdf, 492.0KB)
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- Publisher copy:
- 10.1137/120892441
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Authors
Bibliographic Details
- Publisher:
- Society for Industrial and Applied Mathematics Publisher's website
- Journal:
- SIAM Journal on Financial Mathematics Journal website
- Volume:
- 4
- Issue:
- 1
- Pages:
- 884-915
- Publication date:
- 2013-08-01
- DOI:
- EISSN:
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1945-497X
- ISSN:
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1945-497X
- Source identifiers:
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352385
Item Description
Terms of use
- Copyright holder:
- Society for Industrial and Applied Mathematics
- Copyright date:
- 2013
- Notes:
- Copyright © 2013, Society for Industrial and Applied Mathematics.
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