A Type of General Forward-Backward Stochastic Differential Equations and Applications

被引：0

作者：

Li CHEN Zhen WU Department of MathematicsChina University of Mining and TechnologyBeijing ChinaCorresponding authorSchool of MathematicsShandong UniversityJinan China ^{[1
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机构：

来源：

ChineseAnnalsofMathematics(SeriesB) | 2011年 / 32卷 / 02期

关键词：

Stochastic delayed differential equations; Anticipated backward stochastic differential equations; Forward-backward stochastic differential equations; Linear-quadratic stochastic optimal control with delay; Nonzero sum stochastic differential game with delay;

D O I：

暂无

中图分类号：

O211.63 [随机微分方程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with Ito's stochastic delayed equations as the forward equations and anticipated backward stochastic differential equations as the backward equations.The existence and uniqueness results of the general FBSDEs are obtained.In the framework of the general FBSDEs in this paper,the explicit form of the optimal control for linear-quadratic stochastic optimal control problem with delay and the Nash equilibrium point for nonzero sum differential games problem with delay are obtained.

引用

页码：279 / 292

页数：14

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