Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations

DOI10.1137/120873777zbMath1266.60107arXiv1203.3857OpenAlexW1974132278MaRDI QIDQ4920257

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Publication date: 16 May 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.3857

zbMATH Keywords

stochastic differential equationbackward stochastic differential equationstochastic Riccati equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic potential theory (60J45)

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