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.©2014 Elsevier B.V. All rights reserved.

BSDEs under partial information and financial applications

CECI, Claudia;
2014

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.©2014 Elsevier B.V. All rights reserved.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1660596
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