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BSDEs under partial information and financial applications |
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| Authors: | Claudia Ceci Alessandra Cretarola Francesco Russo |
| Institution: | 1. Dipartimento di Economia, Università degli Studi “G. D’Annunzio” di Chieti-Pescara, Viale Pindaro 42, I-65127 Pescara, Italy;2. Dipartimento di Matematica e Informatica, Università degli Studi di Perugia, via Vanvitelli, 1, I-06123 Perugia, Italy;3. Ecole Nationale Supérieure des Techniques Avancées, ENSTA-ParisTech Unité de Mathématiques Appliquées, 828, Boulevard des Maréchaux, F-91120 Palaiseau, France |
| 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: | 60H10 60H30 91B28 |
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