Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (Q1766047)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. |
scientific article |
Statements
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (English)
0 references
25 February 2005
0 references
backward stochastic Riccati equation
0 references
linear-quadratic optimal stochastic control problem
0 references
regular approximation
0 references
Feynman-Kac formula
0 references
