BSDEs under partial information and financial applications

Claudia Ceci; Alessandra Cretarola; Francesco Russo

doi:10.1016/j.spa.2014.03.003

BSDEs under partial information and financial applications

Claudia Ceci
, Alessandra Cretarola
, Francesco Russo

University “G. D'Annunzio”
University of Perugia

Research output: Contribution to journal › Article › peer-review

24 Citations (Scopus)

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.

Original language	English
Pages (from-to)	2628-2653
Number of pages	26
Journal	Stochastic Processes and their Applications
Volume	124
Issue number	8
DOIs	https://doi.org/10.1016/j.spa.2014.03.003
Publication status	Published - 1 Jan 2014

Keywords

Backward stochastic differential equations
Föllmer-Schweizer decomposition
Partial information
Risk-minimization

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10.1016/j.spa.2014.03.003

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T1 - BSDEs under partial information and financial applications

AU - Ceci, Claudia

AU - Cretarola, Alessandra

AU - Russo, Francesco

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N2 - 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.

AB - 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.

KW - Backward stochastic differential equations

KW - Föllmer-Schweizer decomposition

KW - Partial information

KW - Risk-minimization

U2 - 10.1016/j.spa.2014.03.003

DO - 10.1016/j.spa.2014.03.003

M3 - Article

AN - SCOPUS:84898622844

SN - 0304-4149

VL - 124

SP - 2628

EP - 2653

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 8

ER -

BSDEs under partial information and financial applications

Abstract

Keywords

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