Multidimensional Markovian FBSDEs with super-quadratic growth

Michael Kupper; Peng Luo; Ludovic Tangpi

doi:10.1016/j.spa.2018.03.024

Multidimensional Markovian FBSDEs with super-quadratic growth

Michael Kupper, Peng Luo, Ludovic Tangpi

Research output: Contribution to journal › Article › peer-review

15 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 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

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10.1016/j.spa.2018.03.024

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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.",

keywords = "Coupled forward backward SDE, Malliavin derivative, Multidimensional process, Parabolic partial differential equation, Superquadratic growth",

author = "Michael Kupper and Peng Luo and Ludovic Tangpi",

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year = "2019",

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T1 - Multidimensional Markovian FBSDEs with super-quadratic growth

AU - Kupper, Michael

AU - Luo, Peng

AU - Tangpi, Ludovic

PY - 2019/3

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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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JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 3

ER -

Multidimensional Markovian FBSDEs with super-quadratic growth

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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