Please use this identifier to cite or link to this item:
Kohlmann, Michael
Tang, Shanjian
Year of Publication: 
Series/Report no.: 
CoFE Discussion Paper 00/30
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

Files in This Item:
352.13 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.