|
|
| |
| A Type of General Forward-Backward Stochastic Differential Equations and Applications |
| |
Citation： |
Li CHEN,Zhen WU.A Type of General Forward-Backward Stochastic Differential Equations and Applications[J].Chinese Annals of Mathematics B,2011,32(2):279~292 |
| Page view： 1972
Net amount： 2108 |
Authors： |
Li CHEN; Zhen WU; |
Foundation： |
the 973 National Basic Research Program of China (No. 2007CB814904), the National
Natural Science Foundations of China (No. 10921101), the Shandong Provincial Natural Science
Foundation of China (No. 2008BS01024), the Science Fund for Distinguished Young Scholars of Shandong
Province (No. JQ200801) and the Shandong University Science Fund for Distinguished Young Scholars
(No. 2009JQ004). |
|
|
| Abstract： |
The authors discuss one type of general forward-backward stochastic differential
equations (FBSDEs) with It?o’s stochastic delayed equations as the forward equations and
anticipated backward stochastic differential equations as the backward equations. The
existence and uniqueness results of the general FBSDEs are obtained. In the framework
of the general FBSDEs in this paper, the explicit form of the optimal control for linearquadratic
stochastic optimal control problem with delay and the Nash equilibrium point
for nonzero sum differential games problem with delay are obtained. |
Keywords： |
Stochastic delayed differential equations, Anticipated backward stochastic
differential equations, Forward-backward stochastic differential equations,
Linear-quadratic stochastic optimal control with delay, Nonzero sum
stochastic differential game with delay |
Classification： |
60H10, 93E20 |
|
|
Download PDF Full-Text
|
