Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/85169 
Erscheinungsjahr: 
2000
Schriftenreihe/Nr.: 
CoFE Discussion Paper No. 00/29
Verlag: 
University of Konstanz, Center of Finance and Econometrics (CoFE), Konstanz
Zusammenfassung: 
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 der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
352.64 kB





Publikationen in EconStor sind urheberrechtlich geschützt.