Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85169
Authors: 
Kohlmann, Michael
Tang, Shanjian
Year of Publication: 
2000
Series/Report no.: 
CoFE Discussion Paper 00/29
Abstract: 
Multi-dimensional backward stochastic Riccati differential equations (BSRDEs in short) are studied. A closed property for solutions of BSRDEs with respect to their coefficients is stated and is proved for general BSRDEs, which is used to obtain the existence of a global adapted solution to some BSRDEs. The global existence and uniqueness results are obtained for two classes of BSRDEs, whose generators contain a quadratic term of L (the second unknown component). More specifically, the two classes of BSRDEs are (for the regular case N > 0)
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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