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带随机跳跃的线性二次非零和微分对策问题

吴臻 于志勇

吴臻, 于志勇. 带随机跳跃的线性二次非零和微分对策问题[J]. 应用数学和力学, 2005, 26(8): 945-950.
引用本文: 吴臻, 于志勇. 带随机跳跃的线性二次非零和微分对策问题[J]. 应用数学和力学, 2005, 26(8): 945-950.
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.

带随机跳跃的线性二次非零和微分对策问题

基金项目: 国家自然科学基金资助项目(10371067);教育部优秀青年教师资助计划项目(2057);教育部博士点基金资助项目(20020422020);霍英东高校教师基金资助项目(91064)
详细信息
    作者简介:

    吴臻(1971- ),男,山东济南人,教授,博士(联系人.Tel:+86-531-88369577;Fax:+86-531-88564652;E-mail:wuzhen@sdu.edu.cn);于志勇(1976- ),男,山东威海人,副教授,硕士.

  • 中图分类号: O211.63;TM571.62

Linear Quadratic Nonzero Sum Differential Games With Random Jumps

  • 摘要: 对于一类以布朗运动和泊松过程为噪声源的正倒向随机微分方程,在单调性假设下,给出了解的存在性和唯一性的结果.然后将这些结果应用于带随机跳跃的线性二次非零和微分对策问题之中,由上述正倒向随机微分方程的解得到了开环Nash均衡点的显式形式.
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出版历程
  • 收稿日期:  2003-06-10
  • 修回日期:  2005-03-20
  • 刊出日期:  2005-08-15

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