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

DOI10.1016/j.cam.2013.04.048zbMath1320.60121arXiv1302.1723OpenAlexW2059354498MaRDI QIDQ2349594

Nacira Agram, Bernt Øksendal

Publication date: 17 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.1723

zbMATH Keywords

optimal controlmaximum principleinfinite horizonLévy processesstochastic delay equationpartial information

Mathematics Subject Classification ID

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