Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
نویسندگان
چکیده
منابع مشابه
Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
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....
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2013
ISSN: 1945-497X
DOI: 10.1137/120892441