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

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-Marko...

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Bibliographic Details
Main Authors: Guangchen Wang, Zhen Wu
Format: Article
Language:English
Published: Wiley 2011-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2011/310910
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