The Fulde-Ferrel-Larkin-Ovchinnikov (FFLO) state near the antiferromagnetic quantum critical point (AFQCP) is investigated by analyzing the two dimensional Hubbard model on the basis of the fluctuation exchange (FLEX) approximation. The phase diagram against the magnetic field and temperature is compared with that obtained in the BCS theory. We discuss the influences of the antiferromagnetic spin fluctuation through the quasiparticle scattering, retardation effect, parity mixing and internal magnetic field. It is shown that the FFLO state is stable in the vicinity of AFQCP even though the quasiparticle scattering due to the spin fluctuation is destructive to the FFLO state. The large positive slope dH_{FFLO}/dT and the convex curvature (d^{2}H_{FFLO}/dT^{2} > 0) are obtained, where H_{FFLO} is the critical magnetic field for the second order phase transition from the uniform BCS state to the FFLO state. These results are consistent with the experimental results in CeCoIn_5. The possible magnetic transition in the FFLO state is examined.
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