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BSDEs under partial information and financial applications

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.

preprint2013arXivOpen access
Claudia CeciAlessandra CretarolaFrancesco Russo
math.PR
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Open access3 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Claudia CeciAlessandra CretarolaFrancesco Russo

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