Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (Q1766047)
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scientific article; zbMATH DE number 2138940
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| English | Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. |
scientific article; zbMATH DE number 2138940 |
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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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0.88121164
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0.86669064
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0.8662106
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