EconPapers    
Economics at your fingertips  
 

Mean‐Variance Hedging and Forward‐Backward Stochastic Differential Filtering Equations

Guangchen Wang and Zhen Wu

Abstract and Applied Analysis, 2011, vol. 2011, issue 1

Abstract: This paper is concerned with a mean‐variance hedging problem with partial information, where the initial endowment of an agent may be a decision and the contingent claim is a random variable. This problem is explicitly solved by studying a linear‐quadratic optimal control problem with non‐Markov control systems and partial information. Then, we use the result as well as filtering to solve some examples in stochastic control and finance. Also, we establish backward and forward-backward stochastic differential filtering equations which are different from the classical filtering theory introduced by Liptser and Shiryayev (1977), Xiong (2008), and so forth.

Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/2011/310910

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2011:y:2011:i:1:n:310910

Access Statistics for this article

More articles in Abstract and Applied Analysis from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2025-03-22
Handle: RePEc:wly:jnlaaa:v:2011:y:2011:i:1:n:310910