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) |
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Pages (from-to) | 902-923 |
Number of pages | 22 |
Journal | Stochastic Processes and their Applications |
Volume | 129 |
Issue number | 3 |
DOIs | |
State | Published - Mar 2019 |
Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics
Keywords
- Coupled forward backward SDE
- Malliavin derivative
- Multidimensional process
- Parabolic partial differential equation
- Superquadratic growth