BACKWARD LINEAR-QUADRATIC STOCHASTIC OPTIMAL CONTROL AND NONZERO-SUM DIFFERENTIAL GAME PROBLEM WITH RANDOM JUMPS  

作　　者：Detao ZHANG 

机构地区：[1]School of Mathematics, Shandong University, Jinan 250100, China.

出　　处：《Journal of Systems Science & Complexity》2011年第4期647-662,共16页系统科学与复杂性学报（英文版）

基　　金：supported by National Natural Science Foundation of China(10671112);National Basic Research Program of China(973 Program)(2007CB814904);the Natural Science Foundation of Shandong Province(Z2006A01)

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).

关 键 词：Backward stochastic differential equations nonzero-sum differential game optimal con-trol poisson processes Riccati equation. 

分 类 号：O232[理学—运筹学与控制论] O211.63[理学—数学]