Solvability of coupled FBSDEs with diagonally quadratic generators

DOI10.1142/S0219493717500435zbMath1372.60084MaRDI QIDQ5361985

Ludovic Tangpi, Peng Luo

Publication date: 29 September 2017

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equationscoupled systemsquadratic growthBMO-martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (10)

Backward propagation of chaos ⋮ A class of quadratic forward-backward stochastic differential equations ⋮ Global existence for quadratic FBSDE systems and application to stochastic differential games ⋮ On quasilinear parabolic systems and FBSDEs of quadratic growth ⋮ Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators ⋮ Maximum principle for stochastic control of SDEs with measurable drifts ⋮ A type of globally solvable BSDEs with triangularly quadratic generators ⋮ Multidimensional Markovian FBSDEs with super-quadratic growth ⋮ Equilibrium asset pricing with transaction costs ⋮ Strong solutions of forward-backward stochastic differential equations with measurable coefficients

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