BSDEs under partial information and financial applications
Probability
2014-06-30 v1
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 F\"ollmer-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.
Keywords
Cite
@article{arxiv.1305.3690,
title = {BSDEs under partial information and financial applications},
author = {Claudia Ceci and Alessandra Cretarola and Francesco Russo},
journal= {arXiv preprint arXiv:1305.3690},
year = {2014}
}