Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems

DOI10.1137/120892441zbMath1283.60085arXiv1209.6497OpenAlexW2144799432MaRDI QIDQ2873153

Michael Monoyios

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

zbMATH Keywords

relative entropyasymptotic expansionstochastic controlMalliavin calculusindifference pricing

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)

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