Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco BSDEs under partial information and financial applications. (English) Zbl 1329.60174 Stochastic Processes Appl. 124, No. 8, 2628-2653 (2014). Summary: In this paper, we provide existence and uniqueness results for the solution of BSDEs driven by a general square-integrable martingale under partial information. We discuss some special cases where the solution to a BSDE under restricted information can be derived by that related to a problem of a BSDE under full information. In particular, we provide a suitable version of the Föllmer-Schweizer decomposition of a square-integrable random variable working under partial information and we use this achievement to investigate the local risk-minimization approach for a semimartingale financial market model. Cited in 16 Documents MSC: 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) 60H30 Applications of stochastic analysis (to PDEs, etc.) 91B30 Risk theory, insurance (MSC2010) 91G80 Financial applications of other theories Keywords:backward stochastic differential equations; partial information; Föllmer-Schweizer decomposition; risk minimization PDFBibTeX XMLCite \textit{C. Ceci} et al., Stochastic Processes Appl. 124, No. 8, 2628--2653 (2014; Zbl 1329.60174) Full Text: DOI arXiv References: [1] Ansel, J. P.; Stricker, C., Unicité et existence de la loi minimale, (Azéma, J.; Meyer, P. A.; Yor, M., Séminaire de Probabilités XXVII. Séminaire de Probabilités XXVII, Lecture Notes in Mathematics, vol. 1557 (1993), Springer), 22-29 · Zbl 0807.60059 [2] Biagini, F.; Cretarola, A., Local risk-minimization for defaultable markets, Math. 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