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

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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.

论文关键词:93EXX,93E20,60J75,60H10,60H20,34K50,Infinite horizon,Optimal control,Stochastic delay equation,Lévy processes,Maximum principle,Partial information

论文评审过程:Received 7 February 2013, Revised 30 April 2013, Available online 10 May 2013.

论文官网地址:https://doi.org/10.1016/j.cam.2013.04.048