Linear quadratic nonzero-sum differential games with random jumps

作者：Wu, Z^*; Yu, ZY

来源：Applied Mathematics and Mechanics, 2005, 26(8): 1034-1039.

DOI：10.1007/bf02466416

• stochastic differential equation
• Poisson process
• stochastic differential game

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.

• 出版日期2005-8
• 单位山东大学