Recent advances in backward stochastic Riccati equations and their applications

Michael Kohlmann, Shanjian Tang

The following backward stochastic Riccati differential equation (BSRDE in short) is motivated, and is then studied. Some properties are presented. The existence and uniqueness of a global adapted solution to a BSRDE has been open for the case D i 6= 0 for more than two decades. Our recent results on this topic are summarized. Finally, applications are addressed, both in finance and control.

MoreLess

Year of publication:	October 25, 2000
Authors:	Kohlmann, Michael ; Tang, Shanjian
Publisher:	[Konstanz] : [Zentrum für Finanzen und Ökonometrie, Universität Konstanz]
Subject:	backward stochastic Riccati equation \| stochastic linear-quadratic control problem \| mean-variance hedging \| variance-optimal martingale measure \| Kontrolltheorie \| Control theory \| Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Hedging \| Theorie \| Theory

freely available

Full text |

More access options

nbn-resolving.org

Check Google Scholar

In German libraries (KVK)

I need help

Erscheint auch als (Druck-Ausgabe):

Kohlmann, Michael *1947-*. Recent advances in backward stochastic Riccati equations and their applications. - [Konstanz] : Center of Finance and Econometrics, 2000. - 25 S.

Persistent link: https://www.econbiz.de/10011543687