{"paper":{"title":"The F\\\"ollmer-Schweizer decomposition under incomplete information","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.MF"],"primary_cat":"math.PR","authors_text":"Alessandra Cretarola, Claudia Ceci, Katia Colaneri","submitted_at":"2015-11-17T16:52:55Z","abstract_excerpt":"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 uno"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1511.05465","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}