TY - JOUR
T1 - Multidimensional Markovian FBSDEs with super-quadratic growth
AU - Kupper, Michael
AU - Luo, Peng
AU - Tangpi, Ludovic
N1 - Funding Information:
Financial support from China Scholarship Council (File No. 201306220101 ), NSF of China (No. 11221061 ) and the Project 111 (No. B12023 ). Partially funded by the Vienna Science and Technology Fund (WWTF) through project MA14-008 .
Publisher Copyright:
© 2018 Elsevier B.V.
PY - 2019/3
Y1 - 2019/3
N2 - 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.
AB - 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.
KW - Coupled forward backward SDE
KW - Malliavin derivative
KW - Multidimensional process
KW - Parabolic partial differential equation
KW - Superquadratic growth
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U2 - 10.1016/j.spa.2018.03.024
DO - 10.1016/j.spa.2018.03.024
M3 - Article
AN - SCOPUS:85046774064
VL - 129
SP - 902
EP - 923
JO - Stochastic Processes and their Applications
JF - Stochastic Processes and their Applications
SN - 0304-4149
IS - 3
ER -