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

BACKWARD LINEAR-QUADRATIC STOCHASTIC OPTIMAL CONTROL AND NONZERO-SUM DIFFERENTIAL GAME PROBLEM WITH RANDOM JUMPS
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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).
作者 Detao ZHANG
机构地区 School of Mathematics
出处 《Journal of Systems Science & Complexity》 SCIE EI CSCD 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)
关键词 Backward stochastic differential equations nonzero-sum differential game optimal con-trol poisson processes Riccati equation. 线性二次随机最优控制 正倒向随机微分方程 博弈问题 非零 跳跃 线性二次型最优控制 Riccati方程 解的存在性
分类号 O232 [理学—运筹学与控制论] O211.63 [理学—概率论与数理统计]
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共引文献26

Journal of Systems Science & Complexity
2011年 第4期

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