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arXiv · 1305.3690

BSDEs under partial information and financial applications

Claudia Ceci·Alessandra Cretarola·Francesco Russo
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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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Claudia Ceci, Alessandra Cretarola, Francesco Russo. 2013-05-16. BSDEs under partial information and financial applications. https://doi.org/10.1016/j.spa.2014.03.003

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