{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,11]],"date-time":"2025-10-11T00:40:31Z","timestamp":1760143231356,"version":"build-2065373602"},"reference-count":26,"publisher":"MDPI AG","issue":"2","license":[{"start":{"date-parts":[[2024,1,29]],"date-time":"2024-01-29T00:00:00Z","timestamp":1706486400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100002241","name":"JST PRESTO","doi-asserted-by":"publisher","award":["JPMJPR2029"],"award-info":[{"award-number":["JPMJPR2029"]}],"id":[{"id":"10.13039\/501100002241","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Entropy"],"abstract":"<jats:p>The paper provides a precise error estimate for an asymptotic expansion of a certain stochastic control problem related to relative entropy minimization. In particular, it is shown that the expansion error depends on the regularity of functionals on path space. An efficient numerical scheme based on a weak approximation with Monte Carlo simulation is employed to implement the asymptotic expansion in multidimensional settings. Throughout numerical experiments, it is confirmed that the approximation error of the proposed scheme is consistent with the theoretical rate of convergence.<\/jats:p>","DOI":"10.3390\/e26020119","type":"journal-article","created":{"date-parts":[[2024,1,29]],"date-time":"2024-01-29T08:54:03Z","timestamp":1706518443000},"page":"119","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Asymptotic Expansion and Weak Approximation for a Stochastic Control Problem on Path Space"],"prefix":"10.3390","volume":"26","author":[{"given":"Masaya","family":"Kannari","sequence":"first","affiliation":[{"name":"Aflac Life Insurance Japan Ltd., Tokyo 163-0456, Japan"}]},{"given":"Riu","family":"Naito","sequence":"additional","affiliation":[{"name":"Asset Management One, Co., Ltd., Tokyo 100-0005, Japan"}]},{"given":"Toshihiro","family":"Yamada","sequence":"additional","affiliation":[{"name":"Graduate School of Economics, Hitotsubashi University, Tokyo 186-8601, Japan"}]}],"member":"1968","published-online":{"date-parts":[[2024,1,29]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"780","DOI":"10.1109\/9.286253","article-title":"Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems","volume":"39","author":"James","year":"1994","journal-title":"IEEE Trans. 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