A class of globally solvable Markovian quadratic BSDE systems and applications

Understand

We establish 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-H\"older-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.