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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| Format: | Journal article |
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Society for Industrial and Applied Mathematics
2013
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