Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
From MaRDI portal
Publication:2873153
DOI10.1137/120892441zbMath1283.60085arXiv1209.6497OpenAlexW2144799432MaRDI QIDQ2873153
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.6497
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (9)
Utility indifference valuation for non-smooth payoffs with an application to power derivatives ⋮ Sensitivity analysis for expected utility maximization in incomplete Brownian market models ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Approximate indifference pricing in exponential Lévy models ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ An expansion in the model space in the context of utility maximization ⋮ Explicit solution of relative entropy weighted control ⋮ A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk ⋮ Fréchet differentiable drift dependence of Perron–Frobenius and Koopman operators for non-deterministic dynamics
This page was built for publication: Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
