Some results on the well-posedness of quadratic BSDE systems

Date
2023-06-23
Authors
Jackson, Joseph S.
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Abstract

This manuscript contains a collection of related results about the well-posedness of quadratic systems of backward stochastic differential equations (BSDEs). In particular, existence and uniqueness results are obtained for quadratic BSDE systems whose drivers admit a triangular structure. In addition, similar techniques are used to extend some existing results on Markovian quadratic BSDEs to Markovian quadratic forward-backward stochastic differential equations (FBSDEs). Along the way, a number of new results concerning linear BSDEs with unbounded coefficients are established.

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