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 viking k2 slide gate operator 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 blondor pale quartz 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.