文章基本信息

标题：Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
本地全文：下载
作者：Na Li ; Zhiyong Yu
期刊名称：Advances in Difference Equations
印刷版ISSN：1687-1839
电子版ISSN：1687-1847
出版年度：2015
卷号：2015
期号：1
页码：144
DOI：10.1186/s13662-015-0439-1
语种：English
出版社：Hindawi Publishing Corporation
摘要：This paper presents an existence and uniqueness result for a kind of forward-backward stochastic differential equations (FBSDEs for short) driven by Brownian motion and Poisson process under some monotonicity conditions. By virtue of the conclusion of FBSDEs, we solve a linear-quadratic stochastic optimal control problem for forward-backward stochastic systems with random jumps. Moreover, we also solve a linear-quadratic nonzero-sum stochastic differential game problem. We obtain explicit forms of the unique optimal control and the unique Nash equilibrium point, respectively.
关键词：forward-backward stochastic differential equation ; Poisson process ; stochastic optimal control ; linear-quadratic problem ; nonzero-sum stochastic differential game ; Nash equilibrium