Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations

作者：Wang, Guangchen; Wu, Zhen^*

来源：Abstract and Applied Analysis, 2011, 310910.

DOI：10.1155/2011/310910

• PARTIAL INFORMATION

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.

• 出版日期2011
• 单位山东师范大学; 山东大学