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

• Autores: Nacira Agram, Bernt Oksendal
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 259, Nº 2, 2014, págs. 336-349
• Idioma: inglés
• DOI: 10.1016/j.cam.2013.04.048
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• Resumen

  • 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.