Multi-Dimensional Backward Stochastic Riccati Equations, and Applications

Kohlmann, Michael; Tang, Shanjian

Multi-Dimensional Backward Stochastic Riccati Equations, and Applications

Files

dp00_29.pdf(354.82 KB)

Date

2000

Authors

Kohlmann, Michael

Tang, Shanjian

Series

CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 2000/29

Publication type

Working Paper/Technical Report

Abstract

Multi-dimensional backward stochastic Riccati differential equations (BSRDEs in short) are studied. A closed property for solutions of BSRDEs with respect to their coeficients is stated and is proved for general BSRDEs, which is used to obtain the existence of a global adapted solution to some BSRDEs. The global existence and uniqueness results are obtained for two classes of BSRDEs, whose generators contain a quadratic term of L (the second unknown component).

Subject (DDC)

510 Mathematics

Keywords

backward stochastic Ricatti equation,stochastic linear-quadratic control problem,algebraic transformation,Feynman-Kac formula

Cite This

ISO 690

KOHLMANN, Michael, Shanjian TANG, 2000. Multi-Dimensional Backward Stochastic Riccati Equations, and Applications

BibTex

@techreport{Kohlmann2000Multi-642,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Multi-Dimensional Backward Stochastic Riccati Equations, and Applications},
  number={2000/29},
  author={Kohlmann, Michael and Tang, Shanjian}
}

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