{
  "id": "1205.3726",
  "version": "v2",
  "published": "2012-05-16T16:29:44.000Z",
  "updated": "2012-05-17T20:31:48.000Z",
  "title": "GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization",
  "authors": [
    "Claudia Ceci",
    "Alessandra Cretarola",
    "Francesco Russo"
  ],
  "comment": "22 pages",
  "doi": "10.1142/S0219493713500196",
  "categories": [
    "math.PR"
  ],
  "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 c\\`adl\\`ag martingale under partial information. Furthermore, we discuss an application to risk-minimization where we extend the results of F\\\"ollmer and Sondermann (1986) to the partial information framework and we show how our result fits in the approach of Schweizer (1994).",
  "revisions": [
    {
      "version": "v2",
      "updated": "2012-05-17T20:31:48.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60H30",
      "91B28"
    ],
    "keywords": [
      "gkw representation theorem",
      "linear bsdes",
      "restricted information",
      "risk-minimization",
      "application"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 22,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1205.3726C"
    }
  }
}