{"id":"https://openalex.org/W2144799432","doi":"https://doi.org/10.1137/120892441","title":"Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems","display_name":"Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W2144799432","doi":"https://doi.org/10.1137/120892441","mag":"2144799432"},"language":"en","primary_location":{"id":"doi:10.1137/120892441","is_oa":false,"landing_page_url":"https://doi.org/10.1137/120892441","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5049267532","display_name":"Michael Monoyios","orcid":"https://orcid.org/0000-0002-2286-418X"},"institutions":[{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Michael Monoyios","raw_affiliation_strings":["University of Oxford"],"affiliations":[{"raw_affiliation_string":"University of Oxford","institution_ids":["https://openalex.org/I40120149"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5049267532"],"corresponding_institution_ids":["https://openalex.org/I40120149"],"apc_list":null,"apc_paid":null,"fwci":3.3341,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.92756599,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"4","issue":"1","first_page":"884","last_page":"915"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9672999978065491,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9334999918937683,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/girsanov-theorem","display_name":"Girsanov theorem","score":0.8239288330078125},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7404645681381226},{"id":"https://openalex.org/keywords/malliavin-calculus","display_name":"Malliavin calculus","score":0.6116560697555542},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5696043968200684},{"id":"https://openalex.org/keywords/martingale","display_name":"Martingale (probability theory)","score":0.5627027153968811},{"id":"https://openalex.org/keywords/asymptotic-expansion","display_name":"Asymptotic expansion","score":0.490011602640152},{"id":"https://openalex.org/keywords/semimartingale","display_name":"Semimartingale","score":0.4787120819091797},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.45196327567100525},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4254087209701538},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.41436368227005005},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.3601813316345215},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.355482280254364},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.3384428024291992},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.25229373574256897},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.18671348690986633},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.14856457710266113},{"id":"https://openalex.org/keywords/stochastic-partial-differential-equation","display_name":"Stochastic partial differential equation","score":0.12848946452140808}],"concepts":[{"id":"https://openalex.org/C104824951","wikidata":"https://www.wikidata.org/wiki/Q830124","display_name":"Girsanov theorem","level":3,"score":0.8239288330078125},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7404645681381226},{"id":"https://openalex.org/C11505638","wikidata":"https://www.wikidata.org/wiki/Q6744166","display_name":"Malliavin calculus","level":4,"score":0.6116560697555542},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5696043968200684},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.5627027153968811},{"id":"https://openalex.org/C11683690","wikidata":"https://www.wikidata.org/wiki/Q752726","display_name":"Asymptotic expansion","level":2,"score":0.490011602640152},{"id":"https://openalex.org/C39943821","wikidata":"https://www.wikidata.org/wiki/Q506346","display_name":"Semimartingale","level":2,"score":0.4787120819091797},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.45196327567100525},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4254087209701538},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.41436368227005005},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.3601813316345215},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.355482280254364},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.3384428024291992},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.25229373574256897},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.18671348690986633},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.14856457710266113},{"id":"https://openalex.org/C84629840","wikidata":"https://www.wikidata.org/wiki/Q16979017","display_name":"Stochastic partial differential equation","level":3,"score":0.12848946452140808}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/120892441","is_oa":false,"landing_page_url":"https://doi.org/10.1137/120892441","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":43,"referenced_works":["https://openalex.org/W196970227","https://openalex.org/W201408140","https://openalex.org/W656005671","https://openalex.org/W1487597787","https://openalex.org/W1534416612","https://openalex.org/W1545370368","https://openalex.org/W1554577510","https://openalex.org/W1587955208","https://openalex.org/W1968051860","https://openalex.org/W1973185776","https://openalex.org/W1974080307","https://openalex.org/W1983280589","https://openalex.org/W1996450459","https://openalex.org/W1999121654","https://openalex.org/W2020540597","https://openalex.org/W2042775870","https://openalex.org/W2044192670","https://openalex.org/W2067067105","https://openalex.org/W2075642249","https://openalex.org/W2076458153","https://openalex.org/W2090209035","https://openalex.org/W2105832006","https://openalex.org/W2109544141","https://openalex.org/W2116404121","https://openalex.org/W2126295533","https://openalex.org/W2127141507","https://openalex.org/W2130304566","https://openalex.org/W2137416576","https://openalex.org/W2142886190","https://openalex.org/W2151100785","https://openalex.org/W2151832703","https://openalex.org/W2278325123","https://openalex.org/W2576386146","https://openalex.org/W2744943391","https://openalex.org/W2951021288","https://openalex.org/W3101679953","https://openalex.org/W3121923932","https://openalex.org/W3122224383","https://openalex.org/W3122831581","https://openalex.org/W3124191912","https://openalex.org/W3124521936","https://openalex.org/W3124619851","https://openalex.org/W4244967830"],"related_works":["https://openalex.org/W115217890","https://openalex.org/W3124183800","https://openalex.org/W2075679850","https://openalex.org/W1581732240","https://openalex.org/W1558496784","https://openalex.org/W4243378654","https://openalex.org/W4287753097","https://openalex.org/W4297688579","https://openalex.org/W2249958868","https://openalex.org/W2011745788"],"abstract_inverted_index":{"We":[0,130],"develop":[1],"a":[2,39,52,61,76,85,93,143],"technique":[3],"based":[4],"on":[5,44,96],"Malliavin--Bismut":[6],"calculus":[7],"ideas,":[8],"for":[9,103],"asymptotic":[10,104],"expansion":[11],"of":[12,23,28,38,41,87,106],"dual":[13],"control":[14,67,108],"problems":[15,35],"arising":[16],"in":[17,31,64,91,118,124,150],"connection":[18],"with":[19,26,47],"exponential":[20],"indifference":[21,120],"valuation":[22],"claims,":[24],"and":[25],"minimization":[27],"relative":[29],"entropy,":[30],"incomplete":[32,112],"markets.":[33],"The":[34,70],"involve":[36],"optimization":[37],"functional":[40],"Brownian":[42],"paths":[43,49],"Wiener":[45,97],"space,":[46],"the":[48,55,66,80,88,107,125,137,146],"perturbed":[50],"by":[51],"drift":[53,71],"involving":[54],"control.":[56],"In":[57],"addition":[58],"there":[59],"is":[60,73,99],"penalty":[62],"term":[63],"which":[65,92,119],"features":[68],"quadratically.":[69],"perturbation":[72,144],"interpreted":[74],"as":[75,142],"measure":[77,141,149],"change":[78],"using":[79],"Girsanov":[81],"theorem,":[82],"leading":[83],"to":[84,111,135,145],"form":[86],"integration-by-parts":[89],"formula":[90],"directional":[94],"derivative":[95],"space":[98],"computed.":[100],"This":[101],"allows":[102],"analysis":[105],"problem.":[109],"Applications":[110],"It\u00f4":[113],"process":[114],"markets":[115],"are":[116,122],"given,":[117],"prices":[121],"approximated":[123],"low":[126],"risk":[127],"aversion":[128],"limit.":[129],"also":[131],"give":[132],"an":[133],"application":[134],"identifying":[136],"minimal":[138,147],"entropy":[139],"martingale":[140,148],"stochastic":[151],"volatility":[152],"models.":[153]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}