Name
Abstract | ||
|---|---|---|
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our results with an application to the optimal consumption rate from an economic quantity. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.1137/120882809 | SIAM JOURNAL ON MATHEMATICAL ANALYSIS |
Keywords | DocType | Volume |
infinite horizon,optimal control,stochastic delay equation,Levy processes,maximum principle,Hamiltonian,adjoint process,partial information | Journal | 45 |
Issue | ISSN | Citations |
4 | 0036-1410 | 4 |
PageRank | References | Authors |
0.67 | 0 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| N. Agram | 1 | 17 | 3.27 |
| Sven Haadem | 2 | 9 | 1.33 |
| Bernt Oksendal | 3 | 89 | 15.84 |
| Frank Proske | 4 | 12 | 2.54 |