A unified approach to global solvability for FBSDEs with diagonal generators

2022/11/02 by Tianjiao Hua, Peng Luo, Hua, Tianjiao +1 · 1 citation
Economics, Econometrics and Finance · #60H30 #93E20 #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2211.00913

openalex publication_date 2022/11/02 · openalex created_date 2022/11/08 · openalex updated_date 2026/07/28

Abstract

In this paper, we study the global solvability of multidimensional forward-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. For Lipschitz case, we provide some extensions and investigate L^p-solution and L^p estimates. Our results gives a positive answer to a question proposed in Yong (Banach Center Publ. 122: 255-286, 2020). Applications to stochastic optimal controls and stochastic differential games are investigated.

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