Recent Advances in Backward Stochastics Riccati Equations and Their Applications

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.

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Year of publication:	2000
Authors:	Kohlmann, Michael ; Tang, Shanjian
Publisher:	Konstanz : University of Konstanz, Center of Finance and Econometrics (CoFE)
Subject:	Kontrolltheorie \| Stochastischer Prozess \| Optionspreistheorie \| Hedging \| Theorie

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Series:	CoFE Discussion Paper ; 00/30
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	870048376 [GVK] hdl:10419/85177 [Handle] RePEc:zbw:cofedp:0030 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324042