Global existence for quadratic fbsde systems and application to stochastic differential games

HIGHLIGHTS

• who: Please see https://doi.org/10.1214/23-ECP513 from the (UNIVERSITY) have published the paper: Global existence for quadratic FBSDE systems and application to stochastic differential games, in the Journal: (JOURNAL)
• what: The proof that (2.4) holds when g is Lipschitz is entirely similar, so the authors provide only a brief description of the argument.
• how: The authors emphasize that in this approach the FBSDE involved is not the one obtained from the stochastic maximum principle but the one which represents the value of the game.

SUMMARY

 



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