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

DOI10.1016/S0304-4149(01)00133-8zbMath1064.93050OpenAlexW2027827748MaRDI QIDQ1766047

Shanjian Tang, Michael Kohlmann

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(01)00133-8

zbMATH Keywords

Feynman-Kac formularegular approximationbackward stochastic Riccati equationlinear-quadratic optimal stochastic control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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