Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps

This paper studies the existence and uniqueness of solutions of fully coupled forward-backward stochastic differential equations with Brownian motion and random jumps. The result is applied to solve a linear-quadratic optimal control and a nonzero-sum differential game of backward stochastic differential equations. The optimal control and Nash equilibrium point are explicitly derived. Also the solvability of a kind Riccati equations is discussed. All these results develop those of Lim, Zhou (2001) and Yu, Ji (2008).