LINEAR QUADRATIC NONZERO-SUM DIFFERENTIAL GAMES WITH RANDOM JUMPS

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The existence and uniqueness of the solutions for one kind of forwardbackward stochastic differential equations with Brownian motion and Poisson process as the noise source were given under the monotone conditions. Then these results were applied to nonzero-sum differential games with random jumps to get the explicit form of the open-loop Nash equilibrium point by the solution of the forward-backward stochastic differential equations.
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