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

被引：42

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

页码：336 / 349

页数：14

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