Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 129-146
the optimal strategy as the integrand appearing in the Galtchouk–Kunita–Watanabe decomposition of the benchmarked … contingent claim under partial information and provide its description in terms of the integrand in the classical Galtchouk–Kunita–Watanabe … decomposition under full information via dual predictable projections. Finally we show how these results can be applied to unit …