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Journal Articles Stochastic Processes and their Applications Year : 2014

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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hal-00822988 , version 1 (15-05-2013)

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