Multidimensional Markovian FBSDEs with super-quadratic growth

DOI10.1016/j.spa.2018.03.024zbMath1418.60058arXiv1505.01796OpenAlexW2801818840MaRDI QIDQ1730937

Ludovic Tangpi, Michael Kupper, Peng Luo

Publication date: 6 March 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.01796

zbMATH Keywords

Malliavin derivativeparabolic partial differential equationsuperquadratic growthcoupled forward backward SDEmultidimensional process

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 (16)

Backward propagation of chaos ⋮ A class of quadratic forward-backward stochastic differential equations ⋮ Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls ⋮ Global existence for quadratic FBSDE systems and application to stochastic differential games ⋮ On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications ⋮ On quasilinear parabolic systems and FBSDEs of quadratic growth ⋮ Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators ⋮ Solvability of coupled FBSDEs with diagonally quadratic generators ⋮ A type of globally solvable BSDEs with triangularly quadratic generators ⋮ Functional inequalities for forward and backward diffusions ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ A probabilistic representation for heat flow of harmonic map on manifolds with time-dependent Riemannian metric ⋮ Equilibrium asset pricing with transaction costs ⋮ A study of backward stochastic differential equation on a Riemannian manifold ⋮ Radner equilibrium and systems of quadratic BSDEs with discontinuous generators

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