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dc.date.accessioned2013-03-12T08:20:24Z
dc.date.available2013-03-12T08:20:24Z
dc.date.issued2013en_US
dc.date.submitted2013-02-07en_US
dc.identifier.citationAgram, Nacira, Øksendal, Bernt, . Infinite horizon optimal control of forward-backward stochastic differential equations with delay. Prepint Series - Pure Mathematicsen_US
dc.identifier.urihttp://hdl.handle.net/10852/34692
dc.description.abstractWe 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.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.titleInfinite horizon optimal control of forward-backward stochastic differential equations with delayen_US
dc.typeResearch reporten_US
dc.date.updated2013-02-12en_US
dc.creator.authorAgram, Naciraen_US
dc.creator.authorØksendal, Bernten_US
dc.subject.nsiVDP::410en_US
cristin.unitcode151300en_US
cristin.unitnameMatematisk institutten_US
dc.identifier.cristin1007405en_US
dc.identifier.bibliographiccitationinfo:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Prepint Series - Pure Mathematicsen_US
dc.identifier.urnURN:NBN:no-33456en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo176181en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/34692/2/pure-mathematics-2-2013.pdf


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