学术
LINEAR QUADRATIC NONZERO-SUM DIFFERENTIAL GAMES WITH RANDOM JUMPS
WU Zhen（吴臻）[1] YU Zhi-yong（于志勇）[1]
[1]School of Mathematics and System Science, Shandong University, Jinan 250100, P. R. China
文章出处:
《应用数学和力学：英文版》-2005年26卷8期 -1034-1039页
分 类 号:
文献标识码:
A
文章编号:
0253-4827（2005）08-1034-06
相关文章:
LINEAR QUADRATIC NONZERO-SUM DIFFERENTIAL GAMES WITH RANDOM JUMPS
WU;Zhen（WuZhe）;YU;Zhi-yong（YuZhiYong）
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.
Key words:
stochastic differential equation; Poisson process; stochastic differential game
基金资助:
Project supported by the National Natural Science Foundation of China （No. 10371067 ） ; the Planned Item for the 0utstanding Young Teachers of Ministry of Education of China （ No. 2057）; the Special Fund for Ph.D. Program of Ministry of Education of China （No. 20020422020） and the Fok Ying Tung Education Foundation for Young College Teachers （No. 91064）
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