Multidimensional Markovian FBSDEs with super-quadratic growth

Michael Kupper; Peng Luo; Ludovic Tangpi Ndounkeu

doi:10.1016/j.spa.2018.03.024

Multidimensional Markovian FBSDEs with super-quadratic growth

Michael Kupper, Peng Luo, Ludovic Tangpi Ndounkeu

Research output: Contribution to journal › Article

1 Scopus citations

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.

Original language	English (US)
Pages (from-to)	902-923
Number of pages	22
Journal	Stochastic Processes and their Applications
Volume	129
Issue number	3
DOIs	https://doi.org/10.1016/j.spa.2018.03.024
State	Published - Mar 1 2019
Externally published	Yes

All Science Journal Classification (ASJC) codes

Statistics and Probability
Modeling and Simulation
Applied Mathematics

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10.1016/j.spa.2018.03.024

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Kupper, M., Luo, P., & Tangpi Ndounkeu, L. (2019). Multidimensional Markovian FBSDEs with super-quadratic growth. Stochastic Processes and their Applications, 129(3), 902-923. https://doi.org/10.1016/j.spa.2018.03.024

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