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Multidimensional Markovian FBSDEs with super-quadratic growth |
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| Authors: | Michael Kupper Peng Luo Ludovic Tangpi |
| Institution: | 1. University of Konstanz, Universitätsstraße. 10, D-78457 Konstanz, Germany;2. ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland;3. University of Vienna, Faculty of Mathematics, Oskar-Morgenstern-Platz 1, A-1090 Wien, Austria |
| Abstract: | We give local and global existence and uniqueness results for multidimensional coupled FBSDEs for generators with arbitrary growth in the control variable. The local existence result is based on Malliavin calculus arguments for Markovian equations. Under additional monotonicity conditions on the generator we construct global solutions by a pasting technique along PDE solutions. |
| Keywords: | 60H10 60H07 60H30 Coupled forward backward SDE Multidimensional process Superquadratic growth Malliavin derivative Parabolic partial differential equation |
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