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math.PR2021
A new monotonicity condition for ergodic BSDEs and ergodic control with super-quadratic Hamiltonians
Joe Jackson, Gechun Liang
We establish the existence (and in an appropriate sense uniqueness) of Markovian solutions for ergodic BSDEs under a novel monotonicity condition. Our monotonicity condition allows…
math.PR2021
Global existence for quadratic FBSDE systems and application to stochastic differential games
Joe Jackson
In this note, we extend some recent results on systems of backward stochastic differential equations (BSDEs) with quadratic growth to the case of coupled forward-backward stochasti…
math.PR2021
Existence and uniqueness for non-Markovian triangular quadratic BSDEs
Joe Jackson, Gordan Žitković
We prove the existence and uniqueness of solutions to a class of quadratic BSDE systems which we call triangular quadratic. Our results generalize several existing results about di…