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Infinite horizon op...
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Agram, Nacira,1987-University Med Khider, Algeria,Stochastic analysis and stochastic processes
(author)
Infinite horizon optimal control of forward–backward stochastic differential equations with delay
- Article/chapterEnglish2014
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Elsevier,2014
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LIBRIS-ID:oai:DiVA.org:lnu-82301
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https://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-82301URI
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https://doi.org/10.1016/j.cam.2013.04.048DOI
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https://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-313661URI
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Language:English
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Summary in:English
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Subject category:ref swepub-contenttype
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Subject category:art swepub-publicationtype
Notes
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QC 20220620
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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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Øksendal, BerntUniversity of Oslo, Norway
(author)
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University Med Khider, AlgeriaStochastic analysis and stochastic processes
(creator_code:org_t)
Related titles
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In:Journal of Computational and Applied Mathematics: Elsevier259:Part B, s. 336-3490377-04271879-1778
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