Malliavin calculus for marked binomial processes: portfolio optimisation in the trinomial model and compound Poisson approximation

Reference : Malliavin calculus for marked binomial processes: portfolio optimisation in the trino...


	Document type :	E-prints/Working papers : Already available on another site
	Discipline(s) :	Physical, chemical, mathematical & earth Sciences : Mathematics
	To cite this reference:	http://hdl.handle.net/10993/47548

Title :	Malliavin calculus for marked binomial processes: portfolio optimisation in the trinomial model and compound Poisson approximation
Language :	English
Author, co-author :	Halconruy, Hélène [University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH) >]
Publication date :	Apr-2021
Peer reviewed :	Yes
Keywords :	[en] Marked binomial process ; Malliavin's calculus ; Stein's method
Abstract :	[en] In this paper we develop a stochastic analysis for marked binomial processes, that can be viewed as the discrete analogues of marked Poisson processes. The starting point is the statement of a chaotic expansion for square-integrable (marked binomial) functionals, prior to the elaboration of a Markov-Malliavin structure within this framework. We take advantage of the new formalism to deal with two main applications. First, we revisit the Chen-Stein method for the (compound) Poisson approximation which we perform in the paradigm of the built Markov-Malliavin structure, before studying in the second one the problem of portfolio optimisation in the trinomial model.
Target :	General public
Permalink :	http://hdl.handle.net/10993/47548
source URL :	https://arxiv.org/abs/2104.00914

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Open access	H. Halconruy Malliavin calculus for marked binomial processes.pdf		Publisher postprint	1.2 MB	View/Open

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