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

Abstract

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 stochastic differential equations (FBSDEs). We work in a Markovian setting, and use results from the quadratic BSDE literature together with PDE techniques to obtain a-priori estimates which lead to an existence result. We also identify a general class of stochastic differential games whose corresponding FBSDE systems are covered by our main existence result. This leads to the existence of Markovian Nash equilibria for such games.