Linear Quadratic Nonzero Sum Differential Games With Random Jumps

WU Zhen; YU Zhi-yong

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WU Zhen, YU Zhi-yong. Linear Quadratic Nonzero Sum Differential Games With Random Jumps[J]. Applied Mathematics and Mechanics, 2005, 26(8): 945-950.

Citation:

WU Zhen, YU Zhi-yong. Linear Quadratic Nonzero Sum Differential Games With Random Jumps[J]. Applied Mathematics and Mechanics, 2005, 26(8): 945-950.

Citation:

WU Zhen, YU Zhi-yong. Linear Quadratic Nonzero Sum Differential Games With Random Jumps[J]. Applied Mathematics and Mechanics, 2005, 26(8): 945-950.

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Linear Quadratic Nonzero Sum Differential Games With Random Jumps

School of Mathematics and System Science, Shandong University, Jinan 250100, P. R. China

Received Date: 2003-06-10
Rev Recd Date: 2005-03-20
Publish Date: 2005-08-15

Abstract

Abstract

The existence and uniqueness results of the solutions for one kind of forward-backward stochastic differential equations with Brownian motion and Poisson process as the noise source were given under the monotone conditions. Then these results were applied to get the explicit form of the open-loop Nash equilibrium point for nonzero sum differential games problem with random jump by the solution of the forward-backward stochastic differential equations.
- stochastic differential equation,
- Poisson process,
- stochastic differential game

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References(12)

References

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