Generic well-posedness for a family of quadratic BSDE systems

Abstract

We study a two-parameter family of quadratic BSDE systems of the form given by Jackson (2023) in his open questions on non-Markovian solvability. Fan, Hu, and Tang (2025) established well-posedness for every bounded terminal datum when $1/\alpha+1/\beta=1$. For every $\alpha,\beta>0$ and $M>0$, we establish existence and uniqueness in $\mathcal{S}^{\infty}\times\mathrm{BMO}$ for a dense $G_\delta$ subset of the space of terminal data satisfying $|\xi_i|\le M$ a.s., $i=1,2$, equipped with the topology of convergence in probability. We also obtain well-posedness for every terminal datum taking at most two values. Furthermore, we show that every bounded terminal problem can be reduced to one with a three-valued terminal datum while preserving its solution set. However, for every positive parameter pair with $1/\alpha+1/\beta\ne1$, we construct a three-valued terminal datum admitting at least two distinct solutions in $\mathcal{S}^{\infty}\times\mathrm{BMO}$. In particular, uniqueness can fail in Jackson's stochastic-game example $\alpha=\beta=1$.