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

Global solutions of a class of discrete-

Global solutions of a class of discrete-time backward nonlinear equations on ordered Banach spaces with applications to Riccati equations of stochastic control

✍ V.M. Ungureanu; V. Dragan; T. Morozan 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 250 KB

## SUMMARY In this paper, we consider the problem of existence of certain global solutions for general discrete‐time backward nonlinear equations, defined on infinite dimensional ordered Banach spaces. This class of nonlinear equations includes as special cases many of the discrete‐time Riccati equ