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Paper detail

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.

preprint2013arXivOpen access
Nacira AgramBernt Øksendal
math.OC
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Nacira AgramBernt Øksendal

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