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Nash Equilibrium of Bilinear Itô-Poisson Stochastic Differential Games

Xiaoqiu Gao, Chengke Zhang, Xiangdong Zhang, Haibin Liu


This paper studies a class of Brownian motion and Poisson process stochastic differential system on the principle of the stochastic dynamic programming via to solve the HJB equation then the Riccati equation and the other two differential equations are obtained. We discussed the Nash equilibrium of bilinear-quadratic two person nonzero-sum Itô-Poisson stochastic differential games and obtained the optimal control rate.


stochastic bilinear systems, Poisson process, nonzero-sum stochastic differential games, Nash equilibrium.

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