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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English	Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.	scientific article

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scholarly article

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title

Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (English)

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Stochastic Processes and their Applications

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publication date

25 February 2005

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zbMATH Keywords

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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MaRDI profile type

MaRDI publication profile

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cites work

Paraproducts and Commutators of Martingale Transforms

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Conjugate convex functions in optimal stochastic control

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Linear Quadratic Optimal Stochastic Control with Random Coefficients

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Q4171952

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Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

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Stochastic linear quadratic optimal control problems

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Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

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Mean-variance hedging in continuous time

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Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales

0 references

Mean-Variance Hedging and Numeraire

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique

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Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach

0 references

Dynamic programming and mean-variance hedging

0 references

Backward stochastic differential equations with continuous coefficient

0 references

Existence for BSDE with superlinear–quadratic coefficient

0 references

Optimum consumption and portfolio rules in a continuous-time model

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Adapted solution of a backward stochastic differential equation

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Q4029028

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Forward-backward stochastic differential equations and quasilinear parabolic PDEs

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Stochastic Hamilton–Jacobi–Bellman Equations

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

0 references

A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

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Q2712232

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A General Stochastic Maximum Principle for Optimal Control Problems

0 references

Mean-variance hedging for continuous processes: New proofs and examples

0 references

Mean-variance hedging for general claims

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Approximating random variables by stochastic integrals

0 references

Approximation pricing and the variance-optimal martingale measure

0 references

Stock Price Distributions with Stochastic Volatility: An Analytic Approach

0 references

Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

0 references

Q4255599

0 references

On the Separation Theorem of Stochastic Control

0 references

Identifiers

zbMATH Open document ID

1064.93050

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DOI

10.1016/S0304-4149(01)00133-8

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1766047

@@ Property / cites work @@
+Paraproducts and Commutators of Martingale Transforms
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
+Normal rank
@@ Property / cites work @@
+Linear Quadratic Optimal Stochastic Control with Random Coefficients
+Normal rank
@@ Property / cites work @@
+Q4171952
@@ Property / cites work: Q4171952 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
+Normal rank
@@ Property / cites work @@
+Stochastic linear quadratic optimal control problems
+Normal rank
@@ Property / cites work @@
+Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging in continuous time
@@ Property / cites work: Mean-variance hedging in continuous time / rank @@
+Normal rank
@@ Property / cites work @@
+Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales
+Normal rank
@@ Property / cites work @@
+Mean-Variance Hedging and Numeraire
@@ Property / cites work: Mean-Variance Hedging and Numeraire / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
+Normal rank
@@ Property / cites work @@
+Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
+Normal rank
@@ Property / cites work @@
+Dynamic programming and mean-variance hedging
@@ Property / cites work: Dynamic programming and mean-variance hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with continuous coefficient
+Normal rank
@@ Property / cites work @@
+Existence for BSDE with superlinear–quadratic coefficient
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and quasilinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Stochastic Hamilton–Jacobi–Bellman Equations
@@ Property / cites work: Stochastic Hamilton–Jacobi–Bellman Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
+Normal rank
@@ Property / cites work @@
+Q2712232
@@ Property / cites work: Q2712232 / rank @@
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging for continuous processes: New proofs and examples
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging for general claims
@@ Property / cites work: Mean-variance hedging for general claims / rank @@
+Normal rank
@@ Property / cites work @@
+Approximating random variables by stochastic integrals
+Normal rank
@@ Property / cites work @@
+Approximation pricing and the variance-optimal martingale measure
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Separation Theorem of Stochastic Control
@@ Property / cites work: On the Separation Theorem of Stochastic Control / rank @@
+Normal rank