Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (Q1766047): Difference between revisions

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Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
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    Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (English)
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    25 February 2005
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    backward stochastic Riccati equation
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    linear-quadratic optimal stochastic control problem
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    regular approximation
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    Feynman-Kac formula
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