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

DOI10.1186/S13662-015-0439-1MaRDI QIDQ1625492zbMATH OpenOpenAlexWikidataFDO

Authors Na Li, Zhiyong Yu

Publication date 29 November 2018

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

forward-backward stochastic differential equationlinear-quadratic problemNash equilibriumnonzero-sum stochastic differential gamePoisson processstochastic optimal control

Mathematics Subject Classification ID

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

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Cited in

(14)

• Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
• Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
• Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information
• Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations
• An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications
• Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
• Stochastic optimal control to a nonlinear differential game
• Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems
• Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps
• Linear - quadratic optimal control and nonzero-sum differential game of forward-backward stochastic system
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• Forward-backward doubly stochastic differential equations with random jumps and related games
• Stochastic linear-quadratic differential game with regime-switching in an infinite horizon
• Linear quadratic nonzero-sum differential games with random jumps

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