Existence of solutions to a class of indefinite stochastic Riccati equations

SIAM Journal on Control and Optimization

Volumn 51, Issue 1, 2013, Pages 221-229

  Qian, Zhongmin ^a   Zhou, Xun Yu ^a,b  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Backward stochastic differential equation; Stochastic differential equation; Stochastic Riccati equation

Indexed keywords

ALGEBRAIC CONSTRAINTS; BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; EXISTENCE OF SOLUTIONS; MATRIX-VALUED; NEW APPROACHES; POSITIVE DEFINITENESS; STOCHASTIC DIFFERENTIAL EQUATIONS;

ALGEBRA; BROWNIAN MOVEMENT; MATRIX ALGEBRA; STOCHASTIC SYSTEMS;

RICCATI EQUATIONS;

EID: 84876142991     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/120873777     Document Type: Article

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