Multidimensional Markov FBSDEs with superquadratic growth
Probability
2016-12-12 v2
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.
Keywords
Cite
@article{arxiv.1505.01796,
title = {Multidimensional Markov FBSDEs with superquadratic growth},
author = {Michael Kupper and Peng Luo and Ludovic Tangpi},
journal= {arXiv preprint arXiv:1505.01796},
year = {2016}
}