Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps

DOI10.1186/s13662-015-0439-1zbMath1422.60098OpenAlexW1815507923WikidataQ59435275 ScholiaQ59435275MaRDI QIDQ1625492

Na Li, Zhi-Yong Yu

Publication date: 29 November 2018

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-015-0439-1

zbMATH Keywords

stochastic optimal controllinear-quadratic problemNash equilibriumPoisson processforward-backward stochastic differential equationnonzero-sum stochastic differential game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

Related Items (6)

Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications ⋮ Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations ⋮ Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations ⋮ Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information

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