Article ID Journal Published Year Pages File Type
6422639 Journal of Computational and Applied Mathematics 2014 14 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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