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.
All Science Journal Classification (ASJC) codes
- Modeling and Simulation
- Backward stochastic differential equations
- coupled systems
- quadratic growth