Multidimensional Markovian FBSDEs with super-quadratic growth

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:129

Article

Kupper, Michael¹  Luo, Peng²  Tangpi, Ludovic³ 

[1] Univ Konstanz, Univ Str 10, D-78457 Constance, Germany

[2] Swiss Fed Inst Technol, Ramistr 101, CH-8092 Zurich, Switzerland

[3] Univ Vienna, Fac Math, Oskar Morgenstern Pl 1, A-1090 Vienna, Austria

关键词: Coupled forward backward SDE;    Multidimensional process;    Superquadratic growth;    Malliavin derivative;    Parabolic partial differential equation;   

DOI  :  10.1016/j.spa.2018.03.024

来源: Elsevier

【 摘 要 】

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. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

Free