Journal title
SIAM Journal on Control and Optimization
DOI
10.1137/120873777
Issue
1
Volume
51
Last updated
2023-12-21T07:18:06.423+00:00
Page
221-229
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 backward stochastic differential equations (without involving any algebraic constraint) whose existence of solutions automatically enforces the original algebraic constraint to be satisfied. © 2013 Society for Industrial and Applied Mathematics.
Symplectic ID
405723
Submitted to ORA
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Publication type
Journal Article
Publication date
17 Apr 2013