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Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging

Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging

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KOHLMANN, Michael, Shanjian TANG, 2002. Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. In: Stochastic Processes and their Applications. 97(2), pp. 255-288. ISSN 0304-4149. Available under: doi: 10.1016/S0304-4149(01)00133-8

@article{Kohlmann2002Globa-25840, title={Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging}, year={2002}, doi={10.1016/S0304-4149(01)00133-8}, number={2}, volume={97}, issn={0304-4149}, journal={Stochastic Processes and their Applications}, pages={255--288}, author={Kohlmann, Michael and Tang, Shanjian} }

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