Infinite horizon optimal control of forward–backward stochastic differential equations with delay
نویسندگان
چکیده
منابع مشابه
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 fl...
متن کاملInfinite Horizon Optimal Control of Stochastic Delay Evolution Equations in Hilbert Spaces
and Applied Analysis 3
متن کاملStochastic PDEs and Infinite Horizon Backward Doubly Stochastic Differential Equations
We give a sufficient condition on the coefficients of a class of infinite horizon BDSDEs, under which the infinite horizon BDSDEs have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations. A probabilistic interpretation for solutions to a class of stochastic partial differential equations...
متن کاملOptimal control of stochastic delay equations and time-advanced backward stochastic differential equations
We study optimal control problems for (time-)delayed stochastic differential equations with jumps. We establish sufficient and necessary stochastic maximum principles for an optimal control of such systems. The associated adjoint processes are shown to satisfy a (time-) advanced backward stochastic differential equation (ABSDE). Several results on existence and uniqueness of such ABSDEs are sho...
متن کاملOptimal Control of Delay Differential Equations
Control theory has developed rapidly over the past few decades and it is now established as an important area of contemporary applied mathematics. Optimal control problem is a mathematical programming problem involving a number of stages where each stage evolves from the previous stage in a prescribed manner. In this paper, we are concerned with optimal control of delay differential equations w...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2014
ISSN: 0377-0427
DOI: 10.1016/j.cam.2013.04.048