Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations
| Autor: | Guangchen Wang, Zhen Wu |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2011 |
| Předmět: | |
| Zdroj: | Abstract and Applied Analysis, Vol 2011 (2011) |
| Druh dokumentu: | article |
| ISSN: | 1085-3375 1687-0409 |
| DOI: | 10.1155/2011/310910 |
| Popis: | This paper is concerned with a mean-variance hedging problem with partial information, where the initial endowment of an agent may be a decision and the contingent claim is a random variable. This problem is explicitly solved by studying a linear-quadratic optimal control problem with non-Markov control systems and partial information. Then, we use the result as well as filtering to solve some examples in stochastic control and finance. Also, we establish backward and forward-backward stochastic differential filtering equations which are different from the classical filtering theory introduced by Liptser and Shiryayev (1977), Xiong (2008), and so forth. |
| Databáze: | Directory of Open Access Journals |
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