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arXiv · 1505.01796

Multidimensional Markov FBSDEs with superquadratic growth

Michael Kupper·Peng Luo·Ludovic Tangpi
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Abstract

We give local and global existence and uniqueness results for systems of coupled FBSDEs in the multidimensional setting and with generators allowed to grow arbitrarily fast in the control variable. Our results are based on Malliavin calculus arguments and pasting techniques.

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Michael Kupper, Peng Luo, Ludovic Tangpi. 2015-05-05. Multidimensional Markov FBSDEs with superquadratic growth. https://arxiv.org/abs/1505.01796

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