We prove one comparison theorem of FBSDE using pure probabilistic method and duality technique. The method allows the coe cients in FBSDE to be random and with possible degeneracy in the forward equation.

In this paper, we use the sohltions of forwrd-d-backward stochastic differential equations to get the explicit form of the optimal control for linear quadratic stochastic optimal control problem and the open loop Nash cquilibrium point for nonzero sum differ cntial games problem. Wc also discuss the solwbility of the gencralizcd Riccati equation system and give the lincar-fccdback regmdator for the optimal control problem using the solution of this kind of Riccati equation system.

首先运用经典动态规划方法，研究股票付息下国际证券市场中一类最优证券投资组合和消费选择问题，并利用投资学理论对投资者只投资两种证券情形的最优组合给出经济分析和解释。然后，运用非常简单和直接的方法对两种典型的效用函数给出最优解的显式形式，求解的技巧来自解决线性二次最优控制问题的配平方法。最后，给出一些数值计算例子来展示各模型参数对最优选择的影响。

The maximum principle for fully coupled forward-backward stochastic control system in the global form is proved, under the assumption that the forward diffusion coefficient does not contain the control variable, but the control domain is not necessarily convex.

给出一类布朗运动和泊松过程混合驱动的正倒向随机微分方程解的存在唯一性结果，应用这一结果研究带有随机跳跃干扰的线性二次随机最优控制问题，并得到最优控制的显式形式，可以证明最优控制是唯一的然后，引人和研究一类推广的黎卡提方程系统，讨论该方程系统的可解性并由该方程的解得到带有随机跳跃干扰的线性二次随机最优控制问题最优的线性反馈。

In this paper, one kind of corporate optimal portfolio and consumption choice problem is studied for a investor who can invest his wealth in the bond (bank account) and in a real project which has the production. The bank pays at an interest rate for any deposit and takes at a large rate for any loan. The optimal strategies are obtained by Hamilton-Jacobi-Bellman equation which is derived from dynamic programming principle. We also give the economic analysis to the optimal choice using the investment theory. For the specific Hyperbolic Absolute Risk Aversion case, we get the explicit optimal investment and consumption solution. At last, we give some simulation results to illustrate the optimal result and the influence of the volatility parameter on the optimal choice.

The existence and uniqueness of the solutions for one kind of forward-backward stochastic differential equations with Brownian lnotion and Poisson process as the noise source were given under the monotone conditions. Then these results were applied to nonzero-sum differential gaines 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.

We prove existence and uniqueness results of the solution for infinite horizon reflected backward stochastic differential equations with one or two barriers. We also apply these results to get the existence of optimal control strategy for the mixed control problem and a saddle-point strategy for the mixed game problem when, in both situation, the horizon is infinite.

This paper extends the standard theory of corporate international investment in an environment where the segmentation of international capital markets provides some independence to corporate decisions. The model is an extension of the results in Choi (1989) to show that real exchange risk, the competition between firms in different markets and diversification gains affect corporate international investment. By accounting for the degree of competition between firms, the model embodies different existing explanations based on economic and behavioral variables. Usfiing a "two-country" firm model, we show that real exchange risk, diversification motives and the degree of competition between firms are important elements in the determination of corporate international investment decisions. The dynamic portfolio model reects the main results in several theories of foreign direct investment. Using optimal control methods, we provide the general solution for the profiportion of firm's total capital budget. We also use a new method to get explicit solutions in some special cases. This new method can be applied to solve other financial control problems.

This paper presents of model of market closure in the management of international portfolios. We consider an investor holding a portfolio of domestic stocks and foreign stocks who faces market closure in the management of his portfolio. The investor's portfolio is a