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oaioai:www.duo.uio.no:10852/34692

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

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Publication date
1 January 2013
Publisher
Matematisk Institutt, Universitetet i Oslo

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

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NORA - Norwegian Open Research Archives

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Last time updated on 19/04/2016

This paper was published in NORA - Norwegian Open Research Archives.

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