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.
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Stochastic Processes and their Applications, Elsevier, 2014, 〈10.1016/j.spa.2014.03.003〉
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Soumis le : mercredi 15 mai 2013 - 20:25:59
Dernière modification le : jeudi 5 janvier 2017 - 01:52:51
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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〉

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