BSDEs under partial information and financial applications

Claudia Ceci, Alessandra Cretarola and Francesco Russo

Stochastic Processes and their Applications, 2014, vol. 124, issue 8, 2628-2653

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.

Keywords: Backward stochastic differential equations; Partial information; Föllmer–Schweizer decomposition; Risk-minimization (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:8:p:2628-2653

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DOI: 10.1016/j.spa.2014.03.003

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