communication: MATHEMATICAL FINANCE I: The FöllmerSchweizer decomposition under incomplete information
speaker: Claudia Cecispeaker: Katia Colaneri
speaker: Alessandra Cretarola
abstract: In this paper we study the FöllmerSchweizer decomposition of a square integrable random variable with respect to a given semimartingale S under restricted information. Thanks to the relationship between this decomposition and that of the projection of the random variable with respect to the given information flow, we characterize the integrand appearing in the FöllmerSchweizer decomposition under partial information in the general case where the random variable is not necessarily adapted to the available information level. For partially observable Markovian models where the dynamics of S depends on an nobservable stochastic factor X, we show how to compute the decomposition by means of filtering problems involving functions defined on an infinitedimensional space. Moreover, in the case of a partially observed jumpdiffusion model where X is described by a pure jump process taking values in a finite dimensional space, we compute explicitly the integrand in the FöllmerSchweizer decomposition by working with finite dimensional filters.
timetable:
Thu 28 Jan, 9:00 - 10:30, Sala Stemmi
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