GKW representation theorem under restricted information: An application to risk-minimization

DOI10.1142/S0219493713500196zbMath1300.60061arXiv1205.3726OpenAlexW3125503974MaRDI QIDQ5417124

Claudia Ceci, Alessandra Cretarola, Francesco Russo

Publication date: 16 May 2014

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.3726

zbMATH Keywords

partial informationrisk-minimizationpredictable dual projectionequations driven by a càdlàg martingaleGaltchouk-Kunita-Watanabe (GKW) decomposition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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