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arxiv: 1302.1723 · v2 · pith:XBW26YHNnew · submitted 2013-02-07 · 🧮 math.OC

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

classification 🧮 math.OC
keywords optimalcontroldelayhorizoninfinitedifferentialequationsforward-backward
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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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