Global existence for quadratic FBSDE systems and application to stochastic differential games

DOI10.1214/23-ecp513arXiv2110.01588OpenAlexW3201786125MaRDI QIDQ6110557

Joe Jackson

Publication date: 2 August 2023

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.01588

zbMATH Keywords

stochastic differential gamesquadratic growthFBSDE

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (1)

On quasilinear parabolic systems and FBSDEs of quadratic growth

Cites Work

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• Smooth Solutions of systems of quasilinear parabolic equations
• Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs
• Probabilistic Theory of Mean Field Games with Applications II
• Solvability of coupled FBSDEs with diagonally quadratic generators
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

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