A Note on Indefinite Stochastic Riccati Equations

Zhongmin Qian; Xun Yu Zhou

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arXiv · 1203.3857

A Note on Indefinite Stochastic Riccati Equations

Zhongmin Qian·Xun Yu Zhou

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Abstract

An indefinite stochastic Riccati Equation is a matrix-valued, highly nonlinear backward stochastic differential equation together with an algebraic, matrix positive definiteness constraint. We introduce a new approach to solve a class of such equations (including the existence of solutions) driven by one-dimensional Brownian motion. The idea is to replace the original equation by a system of BSDEs (without involving any algebraic constraint) whose existence of solutions automatically enforces the original algebraic constraint to be satisfied.

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BibTeX RIS

Zhongmin Qian, Xun Yu Zhou. 2012-03-17. A Note on Indefinite Stochastic Riccati Equations. https://arxiv.org/abs/1203.3857

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