Multidimensional Markovian FBSDEs with super-quadratic growth

Michael Kupper, Peng Luo and Ludovic Tangpi

Stochastic Processes and their Applications, 2019, vol. 129, issue 3, 902-923

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; Multidimensional process; Superquadratic growth; Malliavin derivative; Parabolic partial differential equation (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spa.2018.03.024

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