| dc.date.accessioned | 2013-03-12T08:20:24Z | |
| dc.date.available | 2013-03-12T08:20:24Z | |
| dc.date.issued | 2013 | en_US |
| dc.date.submitted | 2013-02-07 | en_US |
| dc.identifier.citation | Agram, Nacira, Øksendal, Bernt, . Infinite horizon optimal control of forward-backward stochastic differential equations with delay. Prepint Series - Pure Mathematics | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/34692 | |
| dc.description.abstract | 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. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2013). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Infinite horizon optimal control of forward-backward stochastic differential equations with delay | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2013-02-12 | en_US |
| dc.rights.holder | Copyright 2013 The Author(s) | |
| dc.creator.author | Agram, Nacira | en_US |
| dc.creator.author | Øksendal, Bernt | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| cristin.unitcode | 151300 | en_US |
| cristin.unitname | Matematisk institutt | en_US |
| dc.identifier.cristin | 1007405 | en_US |
| dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Prepint Series - Pure Mathematics | en_US |
| dc.identifier.urn | URN:NBN:no-33456 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 176181 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/34692/2/pure-mathematics-2-2013.pdf | |