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

• 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.

Ämnesord

NATURVETENSKAP  -- Matematik -- Annan matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Other Mathematics (hsv//eng)

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Matematik

Mathematics

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