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 ...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).展开更多
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)
文摘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).
