Arbeitspapier
Multi-Dimensional Backward Stochastic Riccati Equations, and Applications
Multi-dimensional backward stochastic Riccati differential equations (BSRDEs in short) are studied. A closed property for solutions of BSRDEs with respect to their coefficients 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). More specifically, the two classes of BSRDEs are (for the regular case N > 0)
- Language
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Englisch
- Bibliographic citation
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Series: CoFE Discussion Paper ; No. 00/29
- Classification
-
Wirtschaft
- Subject
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Kontrolltheorie
Stochastischer Prozess
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Kohlmann, Michael
Tang, Shanjian
- Event
-
Veröffentlichung
- (who)
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University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
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Konstanz
- (when)
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2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-5791
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kohlmann, Michael
- Tang, Shanjian
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 2000
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