Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/85177 
Year of Publication: 
2000
Series/Report no.: 
CoFE Discussion Paper No. 00/30
Publisher: 
University of Konstanz, Center of Finance and Econometrics (CoFE), Konstanz
Abstract: 
The following backward stochastic Riccati differential equation (BSRDE in short) is motivated, and is then studied. Some properties are presented. The existence and uniqueness of a global adapted solution to a BSRDE has been open for the case D i 6= 0 for more than two decades. Our recent results on this topic are summarized. Finally, applications are addressed, both in finance and control.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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