Multidimensional quadratic and subquadratic BSDEs with special structure

Abstract

We study multidimensional BSDEs of the form Yt=ξ+∫Ttf(s,Ys,Zs)ds−∫TtZsdWs with bounded terminal conditions ξ and drivers f that grow at most quadratically in Zs. We consider three different cases. In the first case, the BSDE is Markovian, and a solution can be obtained from a solution to a related FBSDE. In the second case, the BSDE becomes a one-dimensional quadratic BSDE when projected to a one-dimensional subspace, and a solution can be derived from a solution of the one-dimensional equation. In the third case, the growth of the driver f in Zs is strictly subquadratic, and the existence and uniqueness of a solution can be shown by first solving the BSDE on a short time interval and then extending it recursively.