Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems

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 functio...

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Bibliographic Details
Main Author:	Monoyios, M
Format:	Journal article
Published:	Society for Industrial and Applied Mathematics 2013

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