Multidimensional Markovian FBSDEs with super-quadratic growth

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2019
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Stochastic Processes and their Applications ; 129 (2019), 3. - pp. 902-923. - ISSN 0304-4149. - eISSN 1879-209X
Abstract
We give local and global existence and uniqueness results for multidimensional coupled FBSDEs for generators with arbitrary growth in the control variable. The local existence result is based on Malliavin calculus arguments for Markovian equations. Under additional monotonicity conditions on the generator we construct global solutions by a pasting technique along PDE solutions.
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510 Mathematics
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ISO 690KUPPER, Michael, Peng LUO, Ludovic TANGPI, 2019. Multidimensional Markovian FBSDEs with super-quadratic growth. In: Stochastic Processes and their Applications. 129(3), pp. 902-923. ISSN 0304-4149. eISSN 1879-209X. Available under: doi: 10.1016/j.spa.2018.03.024
BibTex
@article{Kupper2019Multi-44863,
  year={2019},
  doi={10.1016/j.spa.2018.03.024},
  title={Multidimensional Markovian FBSDEs with super-quadratic growth},
  number={3},
  volume={129},
  issn={0304-4149},
  journal={Stochastic Processes and their Applications},
  pages={902--923},
  author={Kupper, Michael and Luo, Peng and Tangpi, Ludovic}
}
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