GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization

Abstract

In this paper we provide Galtchouk-Kunita-Watanabe representation results in the case where there are restrictions on the available information. This allows to prove existence and uniqueness for linear backward stochastic differential equations driven by a general c\`adl\`ag martingale under partial information. Furthermore, we discuss an application to risk-minimization where we extend the results of F\"ollmer and Sondermann (1986) to the partial information framework and we show how our result fits in the approach of Schweizer (1994).