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 of solution for special equations driven by a general square integrable 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 (1994b).
GKW representation theorem under restricted information: an application to risk-minimization
CRETAROLA, Alessandra;
2014
Abstract
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 of solution for special equations driven by a general square integrable 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 (1994b).File in questo prodotto:
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