![](/images/graphics-bg.png)
Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations
Joint Authors
Source
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-09-20
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Wang, Guangchen& Wu, Zhen. 2011. Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations. Abstract and Applied Analysis،Vol. 2011, no. 2011, pp.1-20.
https://search.emarefa.net/detail/BIM-462503
Modern Language Association (MLA)
Wang, Guangchen& Wu, Zhen. Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations. Abstract and Applied Analysis No. 2011 (2011), pp.1-20.
https://search.emarefa.net/detail/BIM-462503
American Medical Association (AMA)
Wang, Guangchen& Wu, Zhen. Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations. Abstract and Applied Analysis. 2011. Vol. 2011, no. 2011, pp.1-20.
https://search.emarefa.net/detail/BIM-462503
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-462503