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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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2011-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2011/310910 |
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| _version_ | 1832560372461076480 |
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| author | Guangchen Wang Zhen Wu |
| author_facet | Guangchen Wang Zhen Wu |
| author_sort | Guangchen Wang |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-2868ca2e5f104e4ea83a4e244cacaae1 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2011-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-2868ca2e5f104e4ea83a4e244cacaae12025-02-03T01:27:44ZengWileyAbstract and Applied Analysis1085-33751687-04092011-01-01201110.1155/2011/310910310910Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering EquationsGuangchen Wang0Zhen Wu1School of Control Science and Engineering, Shandong University, Jinan 250061, ChinaSchool of Mathematics, Shandong University, Jinan 250100, ChinaThis 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.http://dx.doi.org/10.1155/2011/310910 |
| spellingShingle | Guangchen Wang Zhen Wu Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations Abstract and Applied Analysis |
| title | Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations |
| title_full | Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations |
| title_fullStr | Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations |
| title_full_unstemmed | Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations |
| title_short | Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations |
| title_sort | mean variance hedging and forward backward stochastic differential filtering equations |
| url | http://dx.doi.org/10.1155/2011/310910 |
| work_keys_str_mv | AT guangchenwang meanvariancehedgingandforwardbackwardstochasticdifferentialfilteringequations AT zhenwu meanvariancehedgingandforwardbackwardstochasticdifferentialfilteringequations |