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Recent Advances in Backward Stochastics Riccati Equations and Their Applications

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  • Kohlmann, Michael
  • Tang, Shanjian

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.

Suggested Citation

  • Kohlmann, Michael & Tang, Shanjian, 2000. "Recent Advances in Backward Stochastics Riccati Equations and Their Applications," CoFE Discussion Papers 00/30, University of Konstanz, Center of Finance and Econometrics (CoFE).
    • Handle: RePEc:zbw:cofedp:0030
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