Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps

被引：10

作者：

Zhang, Detao ^{[1
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2011年 / 24卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Backward stochastic differential equations; nonzero-sum differential game; optimal control; poisson processes; Riccati equation; EQUATIONS;

D O I：

10.1007/s11424-010-8365-5

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper studies the existence and uniqueness of solutions of fully coupled forward-backward stochastic differential equations with Brownian motion and random jumps. The result is applied to solve a linear-quadratic optimal control and a nonzero-sum differential game of backward stochastic differential equations. The optimal control and Nash equilibrium point are explicitly derived. Also the solvability of a kind Riccati equations is discussed. All these results develop those of Lim, Zhou (2001) and Yu, Ji (2008).

引用

页码：647 / 662

页数：16

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