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Journal Articles Stochastics and Dynamics Year : 2014

GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization.

Abstract

In this paper we provide Galtchouk-Kunita-Watanabe representation results in the case where there are restrictions on the available information. This allows to prove existence and uniqueness for linear backward stochastic differential equations driven by a general càdlàg martingale under partial information. Furthermore, we discuss an application to risk-minimization where we extend the results of Föllmer and Sondermann (1986) to the partial information framework and we show how our result fits in the approach of Schweizer (1994).
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Dates and versions

hal-00696616 , version 1 (15-05-2012)

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Claudia Ceci, Alessandra Cretarola, Francesco Russo. GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization.. Stochastics and Dynamics, 2014, 14 (2), pp.1350019. ⟨10.1142/S0219493713500196⟩. ⟨hal-00696616⟩
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