The paper shows that a transition from a planned to a market economy implies an important change of the structure of production, i. e. a reallocation of resources which takes time and induces sufferings for some people. These sufferings may be reduced by subsidization of some sectors, with some...

Multi-dimensional backward stochastic Riccati differential equations (BSRDEs in short) are studied. A closed property for solutions of BSRDEs with respect to their coefficients is stated and is proved for general BSRDEs, which is used to obtain the existence of a global adapted solution to some...

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...

We obtain the global existence and uniqueness result for a one-dimensional back- ward stochastic Riccati equation, whose generator contains a quadratic term of L (the second unknown component). This solves the one-dimensional case of Bismut-Peng's problem which was initially proposed by Bismut...

In both complete and incomplete markets we consider the problem of fulfilling a financial obligation xc as well as possible at time T if the initial capital is not sufficient to hedge xc. This introduces a new risk into the market and our main aim is to minimize this shortfall risk by making use...

The standard literature concerning intertemporal optimization in international finance is based upon certainty equivalence, and ignores risk and uncertainty. It therefore is not helpful concerning risk management and evaluation of the risk involved in the holding of international short-term...