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).
This paper is concerned with a stochastic linear quadratic(LQ) optimal control with partial information where ...
Wang Guangchen1,Wu Zhen2 1.School of Mathematical Sciences,Shandong Normal University,Jinan 250014,P.R.China 2.School of Mathematics and System Sciences,Shandong University,Jinan 250100,P.R.China
