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- Publisher
- Springer Journals
- Copyright
- Copyright © 2009 by Springer Science+Business Media, LLC
- Subject
- Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/s00245-009-9067-z
- Publisher site
- See Article on Publisher Site
Abstract
We consider the mean-variance hedging problem under partial information in the case where the flow of observable events does not contain the full information on the underlying asset price process. We introduce a certain type martingale equation and characterize the optimal strategy in terms of the solution of this equation. We give relations between this equation and backward stochastic differential equations for the value process of the problem.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Aug 1, 2009