Recent Advances in Backward Stochastics Ricatti Equations and Their Applications
AbstractThe 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.
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Bibliographic InfoPaper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 00-30.
Length: 25 Pages
Date of creation: Oct 2000
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-DGE-2000-11-14 (Dynamic General Equilibrium)
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