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A maximum principle for infinite horizon delay equations
University Med Khider, Algeria. (Stochastic analysis and stochastic processes)
Linnaeus University, Faculty of Technology, Department of Mathematics. University of Oslo, Norway.
University Med Khider, Algeria.
University of Oslo, Norway.
2013 (English)In: SIAM Journal on Mathematical Analysis, ISSN 0036-1410, E-ISSN 1095-7154, Vol. 45, no 4, p. 2499-2522Article in journal (Refereed) Published
Abstract [en]

We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our results with an application to the optimal consumption rate from an economic quantity.

Place, publisher, year, edition, pages
Society for Industrial and Applied Mathematics, 2013. Vol. 45, no 4, p. 2499-2522
National Category
Other Mathematics
Research subject
Mathematics, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-82302DOI: 10.1137/120882809OAI: oai:DiVA.org:lnu-82302DiVA, id: diva2:1307462
Available from: 2019-04-26 Created: 2019-04-26 Last updated: 2019-05-06Bibliographically approved

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Agram, Nacira

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