Multi-Dimensional Backward Stochastic Riccati Equations, and Applications

Michael Kohlmann and Shanjian Tang

No 00/29, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Abstract: 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)

Date: 2000
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