Fully coupled forward backward stochastic differential equations driven by Lévy processes and application to differential games

Fouzia Baghery; Nabil Khelfallah; Brahim Mezerdi; Isabelle Turpin

doi:10.1515/rose-2014-0016

Fully coupled forward backward stochastic differential equations driven by Lévy processes and application to differential games

Fouzia Baghery^*, Nabil Khelfallah, Brahim Mezerdi, Isabelle Turpin

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

11 Scopus citations

Abstract

We consider a fully coupled forward backward stochastic differential equation driven by a Lévy processes having moments of all orders and an independent Brownian motion. Under some monotonicity assumptions, we prove the existence and uniqueness of solutions on an arbitrarily fixed large time duration. We use this result to prove the existence of an open-loop Nash equilibrium point for non-zero sum stochastic differential games.

Original language	English
Pages (from-to)	151-161
Number of pages	11
Journal	Random Operators and Stochastic Equations
Volume	22
Issue number	3
DOIs	https://doi.org/10.1515/rose-2014-0016
State	Published - 1 Sep 2014
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2014 by De Gruyter.

Keywords

Fully coupled Forward-backward stochastic dierential equation
Lévy process
stochastic dierential game

ASJC Scopus subject areas

Analysis
Statistics and Probability

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10.1515/rose-2014-0016

Cite this

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title = "Fully coupled forward backward stochastic differential equations driven by L{\'e}vy processes and application to differential games",

abstract = "We consider a fully coupled forward backward stochastic differential equation driven by a L{\'e}vy processes having moments of all orders and an independent Brownian motion. Under some monotonicity assumptions, we prove the existence and uniqueness of solutions on an arbitrarily fixed large time duration. We use this result to prove the existence of an open-loop Nash equilibrium point for non-zero sum stochastic differential games.",

keywords = "Fully coupled Forward-backward stochastic dierential equation, L{\'e}vy process, stochastic dierential game",

author = "Fouzia Baghery and Nabil Khelfallah and Brahim Mezerdi and Isabelle Turpin",

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doi = "10.1515/rose-2014-0016",

language = "English",

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T1 - Fully coupled forward backward stochastic differential equations driven by Lévy processes and application to differential games

AU - Baghery, Fouzia

AU - Khelfallah, Nabil

AU - Mezerdi, Brahim

AU - Turpin, Isabelle

PY - 2014/9/1

Y1 - 2014/9/1

N2 - We consider a fully coupled forward backward stochastic differential equation driven by a Lévy processes having moments of all orders and an independent Brownian motion. Under some monotonicity assumptions, we prove the existence and uniqueness of solutions on an arbitrarily fixed large time duration. We use this result to prove the existence of an open-loop Nash equilibrium point for non-zero sum stochastic differential games.

AB - We consider a fully coupled forward backward stochastic differential equation driven by a Lévy processes having moments of all orders and an independent Brownian motion. Under some monotonicity assumptions, we prove the existence and uniqueness of solutions on an arbitrarily fixed large time duration. We use this result to prove the existence of an open-loop Nash equilibrium point for non-zero sum stochastic differential games.

KW - Fully coupled Forward-backward stochastic dierential equation

KW - Lévy process

KW - stochastic dierential game

UR - https://www.scopus.com/pages/publications/84907672953

U2 - 10.1515/rose-2014-0016

DO - 10.1515/rose-2014-0016

M3 - Article

AN - SCOPUS:84907672953

SN - 0926-6364

VL - 22

SP - 151

EP - 161

JO - Random Operators and Stochastic Equations

JF - Random Operators and Stochastic Equations

IS - 3

ER -

Fully coupled forward backward stochastic differential equations driven by Lévy processes and application to differential games

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Cite this