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

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: Guangchen Wang, Zhen Wu
Format: Article
Language:English
Published: Hindawi Limited 2011-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2011/310910
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spelling doaj-2868ca2e5f104e4ea83a4e244cacaae12020-11-24T21:44:59ZengHindawi LimitedAbstract 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
collection DOAJ
language English
format Article
sources DOAJ
author Guangchen Wang
Zhen Wu
spellingShingle Guangchen Wang
Zhen Wu
Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations
Abstract and Applied Analysis
author_facet Guangchen Wang
Zhen Wu
author_sort Guangchen Wang
title Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations
title_short 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_sort mean-variance hedging and forward-backward stochastic differential filtering equations
publisher Hindawi Limited
series Abstract and Applied Analysis
issn 1085-3375
1687-0409
publishDate 2011-01-01
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.
url http://dx.doi.org/10.1155/2011/310910
work_keys_str_mv AT guangchenwang meanvariancehedgingandforwardbackwardstochasticdifferentialfilteringequations
AT zhenwu meanvariancehedgingandforwardbackwardstochasticdifferentialfilteringequations
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