Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging

Stochastic Processes and their Applications

Volumn 97, Issue 2, 2002, Pages 255-288

  Kohlmann, Michael ^a   Tang, Shanjian ^b  

^a UNIVERSITY OF KONSTANZ   (Germany)

^b FUDAN UNIVERSITY   (China)

Author keywords

Backward stochastic Riccati equation; Feynman Kac formula; Linear quadratic optimal stochastic control problem; Mean variance hedging; Regular approximation

Indexed keywords

EID: 0036144125     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(01)00133-8     Document Type: Article

References (37)

1. Paraproducts and commutators of martingale transforms
2. Conjugate convex functions in optimal stochastic control
3. Linear quadratic optimal stochastic control with random coefficients
4. Controle des systems lineares quadratiques: Applications de l'integrale stochastique
5. Stochastic linear quadratic regulators with indefinite control weight costs
6. Stochastic linear quadratic optimal control problems
7. Stochastic linear quadratic optimal control problems, II
8. Solvability of a stochastic linear quadratic optimal control problem
9. Stochastic linear quadratic regulators with indefinite control weight costs, II
10. Mean-variance hedging in continuous time
11. Existence and uniqueness of a solution for stochastic equations with respect to semimartingales
12. Mean-variance hedging and numéraire
13. A closed-form solution for option with stochastic volatility with applications to bond and currency options
14. The pricing of options on assets with stochastic volatilities
15. Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs é croissance quadratique
16. Minimization of risk, LQ theory, and mean-variance hedging and pricing
17. Relationship between backward stochastic differential equations and stochastic controls: A linear-quadratic approach
18. Dynamic programming and mean-variance hedging
19. Backward stochastic differential equations with continuous coefficient
20. Existence for BSDE with superlinear-quadratic coefficient
21. Optimum consumption and portfolio rules in a continuous time model
22. Adapted solution of backward stochastic equation
23. Backward stochastic differential equations and quasi-linear parabolic partial differential equations
24. Forward-backward stochastic differential equations with application to quasi-linear partial differential equations of second-order
25. Stochastic Hamilton-Jacobi-Bellman equations
26. Probabilistic interpretation for systems of semilinear parabolic PDEs
27. A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equation
28. Some open problems on backward stochastic differential equations
29. A general stochastic maximum principle for optimal control problems
30. Mean-variance hedging for continuous processes. New proofs and examples
31. Mean-variance hedging for general claims
32. Approaching random variables by stochastic integrals
33. Approximation pricing and the variance-optimal martingale measure
34. Stock price distributions with stochastic volatility: An analytic approach
35. Necessary conditions for optimal control of stochastic systems with random jumps
36. Stochastic Controls: Hamiltonian Systems and HJB Equations
37. On a matrix Riccati equation of stochastic control