Skip to Main content Skip to Navigation
New interface
Journal articles

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 metadata
Contributor : Francesco Russo Connect in order to contact the contributor
Submitted on : Wednesday, May 15, 2013 - 8:25:59 PM
Last modification on : Monday, November 28, 2022 - 5:50:05 PM
Long-term archiving on: : Friday, August 16, 2013 - 5:25:09 AM


Files produced by the author(s)




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



Record views


Files downloads