LINEAR QUADRATIC NONZERO-SUM DIFFERENTIAL GAMES WITH RANDOM JUMP |
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| Authors: | WU Zhen YU Zhi-yong |
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| Affiliation: | School of Mathematics and System Science, Shandong University, Jinan 250100, P.R.China |
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| Abstract: | ![]()
The existence and uniqueness 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 nonzero-sum differential games with random jumps to get the explicit form of the open-loop Nash equilibrium point by the solution of the forward-backward stochastic differential equations. |
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| Keywords: | Poisson process stochastic differential game stochastic differential equation |
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