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

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

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This paper is concerned with a mean-variance hedging problem with partial information, graco ascent 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 funko dab rig by Liptser and Shiryayev (1977), Xiong (2008), and so forth.