Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6422639 | Journal of Computational and Applied Mathematics | 2014 | 14 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Nacira Agram, Bernt Ãksendal,