Type of Publication:  Contribution to a conference 
Author:  Kohlmann, Michael; Zhou, Xun Yu 
Year of publication:  1999 
Conference:  1999 Conference on Decision and Control, Phoenix, AZ, USA 
Published in:  Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304).  IEEE, 1999.  pp. 23842389.  ISBN 0780352505 
DOI (citable link):  https://dx.doi.org/10.1109/CDC.1999.831281 
Summary: 
The paper attempts to explore the relationship between backward stochastic differential equations (BSDEs) and stochastic controls by interpreting a BSDE as some stochastic optimal control problem. The latter is solved in a closed form by the stochastic linearquadratic (LQ) theory. The general result is then applied to the BlackScholes model, where an optimal meanvariance hedging portfolio is obtained explicitly in terms of the option price. Finally, a modified model is investigated where the difference between the state and the expectation of the given terminal value at any time is taken into account.

Subject (DDC):  510 Mathematics 
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KOHLMANN, Michael, Xun Yu ZHOU, 1999. Backward stochastic differential equations and stochastic controls. 1999 Conference on Decision and Control. Phoenix, AZ, USA. In: Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304). IEEE, pp. 23842389. ISBN 0780352505. Available under: doi: 10.1109/CDC.1999.831281
@inproceedings{Kohlmann1999Backw25846, title={Backward stochastic differential equations and stochastic controls}, year={1999}, doi={10.1109/CDC.1999.831281}, isbn={0780352505}, publisher={IEEE}, booktitle={Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304)}, pages={23842389}, author={Kohlmann, Michael and Zhou, Xun Yu} }