BSDEs under partial information and financial applications.
type: Dataset
description: 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.
issued: 2026-05-11T03:14:20.502239
language: en
modified: 2026-05-11T03:14:20.502243
contact point: Organization
  fn: CCSD
keyword: 60h1060h3091b28
keyword: backward-stochastic-differential-equations
keyword: follmer-schweizer-decomposition
keyword: infoeu-reposemanticsarticle
keyword: journal-articles
keyword: mathmath-prmathematics-mathprobability-mathpr
keyword: partial-information
keyword: risk-minimization
landing page: 0304-4149

BSDEs under partial information and financial applications.
type: Distribution
format: HTML
issued: 2026-05-11T03:14:20.507005
modified: 2026-05-11T03:14:20.493839
access URL: https://inria.hal.science/hal-00822988

test_moissonnage_selune
type: Agent