Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (Q1766047)
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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. |
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Statements
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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