Multi-Dimensional Backward Stochastic Ricatti Equations, and Applications
AbstractMulti-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)
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Bibliographic InfoPaper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 00-29.
Length: 27 Pages
Date of creation: Sep 2000
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-FMK-2000-11-14 (Financial Markets)
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