Recent Advances in Backward Stochastics Riccati Equations and Their Applications

Michael Kohlmann and Shanjian Tang

No 00/30, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Abstract: 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.

Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/85177/1/dp00-30.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0030

Access Statistics for this paper

More papers in CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().