BSDEs under partial information and financial applications
arXiv:1305.3690 · doi:10.1016/j.spa.2014.03.003
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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Cited by in corpus (5)
- Unit-linked life insurance policies: optimal hedging in partially observable market models
- A Benchmark Approach to Risk-Minimization under Partial Information
- Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
- The Föllmer-Schweizer decomposition under incomplete information
- Local risk-minimization under restricted information to asset prices