The Riccati Equation in Mathematical Finance
نویسندگان
چکیده
منابع مشابه
The Riccati Equation in Mathematical Finance
The concept of a closed-form solution to the Riccati equation has been given a precise mathematical definition by Kovacic (1986). Furthermore Kovacic also gave an algorithm that can be used to determine the closed-form solutions to the Riccati ordinary differential equation. The Riccati equation plays an important role in the solution to a class of problems in mathematical finance. In this pape...
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ژورنال
عنوان ژورنال: Journal of Symbolic Computation
سال: 2002
ISSN: 0747-7171
DOI: 10.1006/jsco.2001.0508