Infinite horizon optimal control of forward-backward stochastic differential equations with delay

被引：44
作者：
Agram, Nacira [1 ]
Oksendal, Bernt [2 ]
机构：
[1] Univ Med Khider, Lab Appl Math, Biskra 07000, Algeria
[2] Univ Oslo, CMA, N-0316 Oslo, Norway
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2014年 / 259卷
基金：
欧洲研究理事会;
关键词：
Infinite horizon; Optimal control; Stochastic delay equation; Levy processes; Maximum principle; Partial information; SYSTEMS;
D O I：
10.1016/j.cam.2013.04.048
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in infinite horizon are derived. We illustrate our results by an application to a problem of optimal consumption with respect to recursive utility from a cash flow with delay. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：336 / 349
页数：14
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