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.
- Language
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Englisch
- Bibliographic citation
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Series: CoFE Discussion Paper ; No. 00/30
- Classification
-
Wirtschaft
- Subject
-
Kontrolltheorie
Stochastischer Prozess
Optionspreistheorie
Hedging
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)
-
Konstanz
- (when)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-5805
- Last update
-
10.03.2025, 11:43 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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Recent Advances in Backward Stochastic Riccati Equations and their Applications
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Multi-Dimensional Backward Stochastic Riccati Equations, and Applications
Nonsymmetric algebraic Riccati equations associated with an M-matrix : recent advances and algorithms
Linear isoelastic stochastic control problems and backward stochastic differential equations of Riccati type
The Schrödinger and Riccati equations
Comparison theory for Riccati equations
Quasilinear Riccati Type Equations and Quasiminimizers
New Riccati equations for radiating matter
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
Extension of the solution of Riccati's equations.
Recent Advances in Backward Stochastic Riccati Equations and their Applications
Multi-Dimensional Backward Stochastic Riccati Equations, and Applications
Multi-Dimensional Backward Stochastic Riccati Equations, and Applications
Nonsymmetric algebraic Riccati equations associated with an M-matrix : recent advances and algorithms
Linear isoelastic stochastic control problems and backward stochastic differential equations of Riccati type
The Schrödinger and Riccati equations
Comparison theory for Riccati equations
Quasilinear Riccati Type Equations and Quasiminimizers
New Riccati equations for radiating matter
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