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

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.