L773:0377 0427
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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
Publisher, publication year, extent ...
- Elsevier,2014
- printrdacarrier
Numbers
- LIBRIS-ID:oai:DiVA.org:lnu-82301
- https://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-82301URI
- https://doi.org/10.1016/j.cam.2013.04.048DOI
- https://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-313661URI
Supplementary language notes
- Language:English
- Summary in:English
Part of subdatabase
- SwePubSwePub
Classification
Notes
- QC 20220620
- 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.
Subject headings and genre
- NATURVETENSKAP Matematik Annan matematik hsv//swe
- NATURAL SCIENCES Mathematics Other Mathematics hsv//eng
- Matematik
- Mathematics
Added entries (persons, corporate bodies, meetings, titles ...)
- Øksendal, BerntUniversity of Oslo, Norway (author)
- University Med Khider, AlgeriaStochastic analysis and stochastic processes (creator_code:org_t)
Related titles
- In:Journal of Computational and Applied Mathematics: Elsevier259:Part B, s. 336-3490377-04271879-1778
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