BSDEs under partial information and financial applications.

Abstract : In this paper we provide existence and uniqueness results for the solution of BSDEs driven by a general square integrable martingale under partial information. We discuss some special cases where the solution to a BSDE under restricted information can be derived by that related to a problem of a BSDE under full information. In particular, we provide a suitable version of the Föllmer-Schweizer decomposition of a square integrable random variable working under partial information and we use this achievement to investigate the local risk-minimization approach for a semimartingale financial market model.
Document type :
Journal articles
Complete list of metadatas

https://hal.inria.fr/hal-00822988
Contributor : Francesco Russo <>
Submitted on : Wednesday, May 15, 2013 - 8:25:59 PM
Last modification on : Wednesday, July 3, 2019 - 10:48:04 AM
Long-term archiving on : Friday, August 16, 2013 - 5:25:09 AM

Files

BSDES_partial_info_15052013lat...
Files produced by the author(s)

Identifiers

Collections

Citation

Claudia Ceci, Alessandra Cretarola, Francesco Russo. BSDEs under partial information and financial applications.. Stochastic Processes and their Applications, Elsevier, 2014, ⟨10.1016/j.spa.2014.03.003⟩. ⟨hal-00822988⟩

Share

Metrics

Record views

317

Files downloads

302