Research-Forward-Backward Doubly Stochastic Differential Equations with Random Jumps and Related Games

Research

Financial Math Seminar

Forward-Backward Doubly Stochastic Differential Equations with Random Jumps and Related Games

Speaker: Qingfeng ZHU (Shandong University of Finance and Economics)
Time: Dec 9, 2020, 19:00-20:00
Location: Tencent Meeting ID 613533705

Abstract

A type of forward-backward doubly stochastic differential equations driven by Brownian motions and Poisson process (FBDSDEP) is studied. Under some monotonicity assumptions, the existence and uniqueness results for measurable solutions of FBDSDEP are established via a method of continuation. Then the continuity and differentiability of the solutions to FBDSDEP depending on parameters is discussed. Furthermore, these results were applied to backward doubly stochastic linear quadratic (LQ) nonzero sum differential games with random jumps to get the explicit form of the open–loop Nash equilibrium point by the solution of the FBDSDEP.