Academic Journal
BSDEs under partial information and financial applications.” In: Stochastic processes and applications
| العنوان: | BSDEs under partial information and financial applications.” In: Stochastic processes and applications |
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| المؤلفون: | Claudia Ceci, Alessandra Cretarola, Francesco Russo |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://uma.ensta-paristech.fr/files/publis/2014/2014-art-uma1357-BSDES_partial_info_15052013latest.pdf. |
| سنة النشر: | 2014 |
| المجموعة: | CiteSeerX |
| الوصف: | 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. 1. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.690.5774; http://uma.ensta-paristech.fr/files/publis/2014/2014-art-uma1357-BSDES_partial_info_15052013latest.pdf |
| الاتاحة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.690.5774 http://uma.ensta-paristech.fr/files/publis/2014/2014-art-uma1357-BSDES_partial_info_15052013latest.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.860E10DB |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |