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Linear quadratic nonzero-sum differential games with random jumps. (English) Zbl 1144.91305
Summary: The existence and uniqueness of the solutions for one kind of forward-backward stochastic differential equations with Brownian motion and Poisson process as the noise source were given under the monotone conditions. Then these results were applied to nonzero-sum differential games with random jumps to get the explicit form of the open-loop Nash equilibrium point by the solution of the forward-backward stochastic differential equations.

MSC:
91A23 Differential games (aspects of game theory)
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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