Infinite horizon optimal control of forward-backward stochastic differential equations with delay
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Publication:2349594
DOI10.1016/j.cam.2013.04.048zbMath1320.60121arXiv1302.1723OpenAlexW2059354498MaRDI QIDQ2349594
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
optimal controlmaximum principleinfinite horizonLévy processesstochastic delay equationpartial information
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20)
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