Solvability of coupled FBSDEs with diagonally quadratic generators

Peng Luo, Ludovic Tangpi

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

We study the well-posedness for multi-dimensional and coupled systems of forward-backward SDEs when the generator can be separated into a quadratic and a subquadratic part. We obtain the existence and uniqueness of the solution on a small time interval. Moreover, the continuity and differentiability with respect to the initial value are presented.

Original languageEnglish (US)
Article number1750043
JournalStochastics and Dynamics
Volume17
Issue number6
DOIs
StatePublished - Dec 1 2017
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Modeling and Simulation

Keywords

  • BMO-martingales
  • Backward stochastic differential equations
  • coupled systems
  • quadratic growth

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