Name
Title | ||
|---|---|---|
Infinite horizon optimal control of forward-backward stochastic differential equations with delay. |
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. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1016/j.cam.2013.04.048 | J. Computational Applied Mathematics |
Keywords | Field | DocType |
forward-backward stochastic differential equation,optimal control,partial information,infinite horizon,optimal consumption,infinite horizon system,cash flow,infinite horizon optimal control,necessary maximum principle,maximum principle,levy processes | Mathematical optimization,Maximum principle,Optimal control,Mathematical analysis,Stochastic differential equation,Infinite horizon,Lévy process,Recursion,Mathematics,Cash flow | Journal |
Volume | ISSN | Citations |
259 | 0377-0427 | 9 |
PageRank | References | Authors |
0.81 | 7 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| N. Agram | 1 | 17 | 3.27 |
| Bernt Oksendal | 2 | 89 | 15.84 |