Recent Advances in Backward Stochastic Riccati Equations and their Applications

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dc.contributor.authorKohlmann, Michael
dc.contributor.authorTang, Shanjiandeu
dc.date.accessioned2011-03-22T17:45:44Zdeu
dc.date.available2011-03-22T17:45:44Zdeu
dc.date.issued2000deu
dc.description.abstractThe 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.eng
dc.description.versionpublished
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dc.identifier.ppn088851575deu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/748
dc.language.isoengdeu
dc.legacy.dateIssued2000deu
dc.relation.ispartofseriesCoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie
dc.rightsterms-of-usedeu
dc.rights.urihttps://rightsstatements.org/page/InC/1.0/deu
dc.subjectbackward stochastic Riccati equationdeu
dc.subjectstochastic linear-quadratic control problemdeu
dc.subjectmean-variance hedgingdeu
dc.subjectvariance-optimal martingale measuredeu
dc.subject.ddc510deu
dc.subject.msc91B28deu
dc.subject.msc60H10deu
dc.subject.msc93E20deu
dc.titleRecent Advances in Backward Stochastic Riccati Equations and their Applicationseng
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@techreport{Kohlmann2000Recen-748,
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  title={Recent Advances in Backward Stochastic Riccati Equations and their Applications},
  number={2000/30},
  author={Kohlmann, Michael and Tang, Shanjian}
}
kops.citation.iso690KOHLMANN, Michael, Shanjian TANG, 2000. Recent Advances in Backward Stochastic Riccati Equations and their Applicationsdeu
kops.citation.iso690KOHLMANN, Michael, Shanjian TANG, 2000. Recent Advances in Backward Stochastic Riccati Equations and their Applicationseng
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