The Föllmer–Schweizer decomposition under incomplete information

DOI10.1080/17442508.2017.1290094zbMath1394.60055arXiv1511.05465OpenAlexW3106215755MaRDI QIDQ4584693

Alessandra Cretarola, Claudia Ceci, Katia Colaneri

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.05465

zbMATH Keywords

nonlinear filteringpartial informationFöllmer-Schweizer decomposition

Mathematics Subject Classification ID

Related Items (3)

LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ Hedging the Risk of Delayed Data in Defaultable Markets ⋮ DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION

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