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Infinite horizon optimal control of forward–backward stochastic differential equations with delay
University Med Khider, Algeria. (Stochastic analysis and stochastic processes)
University of Oslo, Norway.
2014 (English)In: Journal of Computational and Applied Mathematics, ISSN 0377-0427, E-ISSN 1879-1778, Vol. 259, no Part B, p. 336-349Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Elsevier, 2014. Vol. 259, no Part B, p. 336-349
National Category
Other Mathematics
Research subject
Mathematics, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-82301DOI: 10.1016/j.cam.2013.04.048OAI: oai:DiVA.org:lnu-82301DiVA, id: diva2:1307460
Available from: 2019-04-26 Created: 2019-04-26 Last updated: 2019-05-07Bibliographically approved

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Agram, Nacira

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