Markovian Quadratic BSDEs with an Unbounded Sub-quadratic Growth

被引：0

作者：

Ju, Jingnan ^{[1
]}

Tang, Shanjian ^{[2
]}

机构：

[1] Fudan Univ, Shanghai Ctr Math Sci, Shanghai 200433, Peoples R China

[2] Fudan Univ, Sch Math Sci, Dept Finance & Control Sci, Shanghai 200433, Peoples R China

来源：

CHINESE ANNALS OF MATHEMATICS SERIES B | 2024年 / 45卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Markovian BSDE; Quadratic growth; Unbounded sub-quadratic term coefficients; Coupled FBSDE; STOCHASTIC DIFFERENTIAL-EQUATIONS; NASH EQUILIBRIUM; GENERATORS;

D O I：

10.1007/s11401-024-0022-8

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper is devoted to the solvability of Markovian quadratic backward s-tochastic differential equations (BSDEs for short) with bounded terminal conditions. The generator is allowed to have an unbounded sub-quadratic growth in the second unknown variable z. The existence and uniqueness results are given to these BSDEs. As an application, an existence result is given to a system of coupled forward-backward stochastic differential equations with measurable coefficients.

引用

页码：441 / 462

页数：22

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