Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
type: Item
instance of: scholarly article
title: Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
zbMATH Open document ID: 1064.93050
DOI: 10.1016/S0304-4149(01)00133-8
author: Michael Kohlmann
author: Shanjian Tang
published in: Stochastic Processes and their Applications
publication date: 2005-02-25T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 2138940
zbMATH Keywords: backward stochastic Riccati equation
zbMATH Keywords: linear-quadratic optimal stochastic control problem
zbMATH Keywords: regular approximation
zbMATH Keywords: Feynman-Kac formula
MaRDI profile type: Publication
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full work available at URL: s0304-4149(01)00133-8
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description: scientific article; zbMATH DE number 2138940