Solvability of coupled FBSDEs with diagonally quadratic generators

Peng Luo; Ludovic Tangpi

doi:10.1142/S0219493717500435

Solvability of coupled FBSDEs with diagonally quadratic generators

Peng Luo, Ludovic Tangpi

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

11 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 language	English (US)
Article number	1750043
Journal	Stochastics and Dynamics
Volume	17
Issue number	6
DOIs	https://doi.org/10.1142/S0219493717500435
State	Published - Dec 1 2017
Externally published	Yes

All Science Journal Classification (ASJC) codes

Modeling and Simulation

Keywords

BMO-martingales
Backward stochastic differential equations
coupled systems
quadratic growth

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10.1142/S0219493717500435

Cite this

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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.",

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AU - Tangpi, Ludovic

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N2 - 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.

AB - 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.

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KW - Backward stochastic differential equations

KW - coupled systems

KW - quadratic growth

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Solvability of coupled FBSDEs with diagonally quadratic generators

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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