BSDEs under partial information and financial applications

DOI10.1016/j.spa.2014.03.003zbMath1329.60174arXiv1305.3690OpenAlexW2069152984MaRDI QIDQ402719

Alessandra Cretarola, Claudia Ceci, Francesco Russo

Publication date: 28 August 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.3690

zbMATH Keywords

backward stochastic differential equationspartial informationrisk minimizationFöllmer-Schweizer decomposition

Mathematics Subject Classification ID

Related Items (16)

BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs ⋮ Unit-linked life insurance policies: optimal hedging in partially observable market models ⋮ \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps ⋮ The Föllmer–Schweizer decomposition under incomplete information ⋮ LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL ⋮ Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ Ong−evaluations with domains under jump filtration ⋮ Special weak Dirichlet processes and BSDEs driven by a random measure ⋮ Hedging the Risk of Delayed Data in Defaultable Markets ⋮ DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION ⋮ Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization ⋮ BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration ⋮ A benchmark approach to risk-minimization under partial information ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk ⋮ Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time

Cites Work

• Option hedging for semimartingales
• Approximating random variables by stochastic integrals
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• On the robustness of backward stochastic differential equations.
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Risk Minimization with Incomplete Information in a Model for High-Frequency Data
• Risk minimizing hedging for a partially observed high frequency data model
• Risk-minimality and orthogonality of martingales
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• No Arbitrage and General Semimartingales
• LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• Backward Stochastic Differential Equations in Finance
• UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
• GKW representation theorem under restricted information: An application to risk-minimization
• Optimal Investment-consumption for Partially Observed Jump-diffusions
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