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arXiv:2211.00913 [math.PR]AbstractReferencesReviewsResources

A unified approach to global solvability for FBSDEs with diagonal generators

Tianjiao Hua, Peng Luo

Published 2022-11-02Version 1

In this paper, we study the global solvability of multidimensional forwar-backward stochastic differential equations (FBSDEs) with diagonally Lipschitz, quadratic or super-quadratic generators. Under a certain "monotonicity" condition, we provide a unified approach which shows that there exists a decoupling field that is uniformly Lipschitz in its spatial variable. This decoupling field is closely related to bounded solution to an associated characteristic BSDE. Applications to stochastic optimal controls and stochastic differential games are investigated.

Categories: math.PR
Subjects: 60H30, 93E20
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