Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result (Q6102672)

The authors considered the following backward stochastic differential equation (BSDE in short): \[ Y_{t}=\xi+\int_{t}^{T}g(s,Y_{s},Z_{s})ds-\int_{t}^{T}Z_{s}dB_{s},~~~t\in[0,T], \] where the terminal value \(\xi\) is an \(\mathcal{F}_{T}\)-measurable \(n\)-dimensional random vector, the generator function \(g(\omega,t, y, z):\Omega\times[0, T ]\times\mathbb{R}^{n}\times\mathbb{R}^{n\times d}\rightarrow\mathbb{R}^{n}\) is \(\mathcal{F}_{t}\)-progressively measurable for each pair \((y, z)\), and the solution \((Y_{t},Z_{t}),t\in[0,T ]\) is a pair of \(\mathcal{F}_{t}\)-progressively measurable processes with values in \(\mathbb{R}^{n}\times\mathbb{R}^{n\times d}\) which almost surely verifies BSDE. The existence of local solution was studied, if the generator \(g(t, y, z)\) can have more general growth and continuity in the first unknown variable \(y\) in the local solution. Furthermore, the global solution was studied if the generator \(g(t, y, z)\) can have a skew sub-quadratic but in addition ``strictly and diagonally'' quadratic growth in the second unknown variable \(z\), or the terminal value can be unbounded but the generator \(g(t, y, z)\) is ``diagonally dependent'' on the variable \(z\).