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

Abstract

This paper presents an existence and uniqueness result for a kind of forward-backward stochastic differential equations (FBSDEs for short) driven by Brownian motion and Poisson process under some monotonicity conditions.By virtue of the conclusion of FBSDEs, we solve a linear-quadratic stochastic optimal control problem for forward-backward stochastic systems with random jumps.Moreover, we also solve a linear-quadratic nonzero-sum stochastic differential game problem.We obtain explicit forms of the unique optimal control and the unique Nash equilibrium point, respectively.

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