Infinite horizon optimal control of forward-backward stochastic differential equations with delay
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)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
- Sufficient stochastic maximum principle for discounted control problem
- Existence of optimal controls for systems driven by FBSDEs
- Adapted solution of a backward stochastic differential equation
- On solutions of a class of infinite horizon FBSDEs
- Backward-forward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Infinite horizon forward-backward stochastic differential equations
- Backward stochastic differential equations and applications to optimal control
- A Maximum Principle for Infinite Horizon Delay Equations
- Stochastic Maximum Principle for Hilbert Space Valued Forward-Backward Doubly SDEs with Poisson Jumps
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
- Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
- Stochastic Differential Utility
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Stochastic maximum principle for optimal control problem of forward and backward system
- Applied stochastic control of jump diffusions