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arXiv · 1302.1723

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

Nacira Agram·Bernt Øksendal
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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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Nacira Agram, Bernt Øksendal. 2013-12-06. Infinite horizon optimal control of forward-backward stochastic differential equations with delay. https://arxiv.org/abs/1302.1723

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