Arbeitspapier
Recent Advances in Backward Stochastics Riccati Equations and Their Applications
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 00/30
- Klassifikation
-
Wirtschaft
- Thema
-
Kontrolltheorie
Stochastischer Prozess
Optionspreistheorie
Hedging
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kohlmann, Michael
Tang, Shanjian
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-5805
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kohlmann, Michael
- Tang, Shanjian
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2000
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