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A class of globally solvable Markovian quadratic BSDE systems and applications

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  • Xing, Hao
  • Žitković, Gordan

Abstract

We establish global existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is characterized by an abstract structural assumption on the generator, an a-priori local-boundedness property, and a locally-Hölder-continuous terminal condition. We present easily verifiable sufficient conditions for these assumptions and treat several applications, including stochastic equilibria in incomplete financial markets, stochastic differential games, and martingales on Riemannian manifolds

Suggested Citation

  • Xing, Hao & Žitković, Gordan, 2018. "A class of globally solvable Markovian quadratic BSDE systems and applications," LSE Research Online Documents on Economics 73440, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:73440
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    File URL: http://eprints.lse.ac.uk/73440/
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    BSDE; backward stochastic differential equations; systems of BSDE; quadratic nonlinearities; stochastic equilibrium; martingales on manifolds; nonzero-sum stochastic games;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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