Recent Advances in Backward Stochastic Riccati Equations and their Applications

Kohlmann, Michael; Tang, Shanjian

Recent Advances in Backward Stochastic Riccati Equations and their Applications

Dateien

dp00_30.pdfGröße: 354.31 KBDownloads: 88

Datum

2000

Autor:innen

Kohlmann, Michael

Tang, Shanjian

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

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.

Fachgebiet (DDC)

510 Mathematik

Schlagwörter

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

Zitieren

ISO 690

KOHLMANN, 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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