Michael Kohlmann

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We obtain the global existence and uniqueness result for a one-dimensional backward stochastic Riccati equation, whose generator contains a quadratic term of L (the second unknown component). This solves the one-dimensional case of Bismut-Peng's problem which w as initially proposed by Bismut (1978) in the Springer yellow book LNM 649. We use an(More)
It is well known that backward stochastic diierential equations BSDEs stem from the study on the Pontryagin type maximum principle for optimal stochastic controls. A solution of a BSDE hits a given terminal value which is a random variable by virtue of an additional martingale term and an indeenite initial state. This paper attempts to view the relation(More)
1 In this paper the widely used concept of an information process is analyzed in more detail. Especially the information process is related to observable variables. The information process is usually understood to characterize investors' expectations about future asset prices. We show under which conditions the information process is governed by a geometric(More)