Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps

DOI10.1007/s11424-010-8365-5zbMath1255.93154OpenAlexW2140511321MaRDI QIDQ1937767

Detao Zhang

Publication date: 31 January 2013

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-010-8365-5

zbMATH Keywords

optimal controlBrownian motionbackward stochastic differential equationsRiccati equationPoisson processesforward-backward stochastic differential equationsrandom jumpsNash equilibrium pointnonzero-sum differential gamelinear-quadratic stochastic optimal control

Mathematics Subject Classification ID

Differential games and control (49N70) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (5)

Backward Stochastic H₂/H_∞Control with Random Jumps ⋮ Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps ⋮ A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information ⋮ A Stackelberg game of backward stochastic differential equations with applications ⋮ Linear quadratic open-loop Stackelberg game for stochastic systems with Poisson jumps

Cites Work

• Linear quadratic nonzero-sum differential games with random jumps
• Dynamic noncooperative game theory
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• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
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• Solution of forward-backward stochastic differential equations
• Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
• Linear-Quadratic Control of Backward Stochastic Differential Equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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