英文标题：
《The F\\\"ollmer-Schweizer decomposition under incomplete information》
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作者：
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
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最新提交年份：
2016
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英文摘要：
In this paper we study the F\\\"ollmer-Schweizer decomposition of a square integrable random variable $\\xi$ with respect to a given semimartingale $S$ under restricted information. Thanks to the relationship between this decomposition and that of the projection of $\\xi$ with respect to the given information flow, we characterize the integrand appearing in the F\\\"ollmer-Schweizer decomposition under partial information in the general case where $\\xi$ is not necessarily adapted to the available information level. For partially observable Markovian models where the dynamics of $S$ depends on an unobservable stochastic factor $X$, we show how to compute the decomposition by means of filtering problems involving functions defined on an infinite-dimensional space. Moreover, in the case of a partially observed jump-diffusion model where $X$ is described by a pure jump process taking values in a finite dimensional space, we compute explicitly the integrand in the F\\\"ollmer-Schweizer decomposition by working with finite dimensional filters.
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中文摘要：
本文研究了受限信息下平方可积随机变量$\\xi$对给定半鞅S$的F \\“ollmer-Schweizer分解。由于这种分解与$\\xi$对给定信息流的投影之间的关系，我们刻画了F \\“ollmer-Schweizer分解下出现的被积函数在一般情况下，$\\xi$不一定适合可用信息级别的部分信息。对于部分可观测的马尔可夫模型，$S$的动力学依赖于不可观测的随机因子$X$，我们展示了如何通过涉及无限维空间上定义的函数的过滤问题来计算分解。此外，在部分观测的跳跃扩散模型中，$X$由在有限维空间中取值的纯跳跃过程描述，我们通过使用有限维滤波器，显式地计算F \\“ollmer-Schweizer分解中的被积函数。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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