Publikation:

Recent Advances in Backward Stochastic Riccati Equations and their Applications

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dp00_30.pdf
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2000

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Tang, Shanjian

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Zusammenfassung

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.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

backward stochastic Riccati equation, stochastic linear-quadratic control problem, mean-variance hedging, variance-optimal martingale measure

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ISO 690KOHLMANN, Michael, Shanjian TANG, 2000. Recent Advances in Backward Stochastic Riccati Equations and their Applications
BibTex
@techreport{Kohlmann2000Recen-748,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Recent Advances in Backward Stochastic Riccati Equations and their Applications},
  number={2000/30},
  author={Kohlmann, Michael and Tang, Shanjian}
}
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