Add to ORKGWe 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
We study an optimal control problem on infinite horizon for a controlled stochastic differential equ...
In this paper, we investigate a class of infinite-horizon optimal control problems for stochastic di...
This book focuses on maximum principle and verification theorem for incomplete information forward-b...
We consider a problem of optimal control of an infinite horizon system governed by forward–backward ...
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. W...
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. W...
We study optimal control problems for (time-)delayed stochastic differential equations with jumps. W...
This paper is concerned with a discounted optimal control problem of partially observed forward-back...
This paper deals with the optimal control problem in which the controlled system is described by a f...
Abstract. This paper deals with the optimal control problem in which the controlled system is descri...
This paper deals with the optimal control problem in which the controlled system is descri...
In this paper, we study the problem of optimal control of backward stochastic differential equations...
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryag...
Abstract We investigate a stochastic optimal control problem where the controlled system is depicted...
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differenti...
We study an optimal control problem on infinite horizon for a controlled stochastic differential equ...
In this paper, we investigate a class of infinite-horizon optimal control problems for stochastic di...
This book focuses on maximum principle and verification theorem for incomplete information forward-b...
We consider a problem of optimal control of an infinite horizon system governed by forward–backward ...
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. W...
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. W...
We study optimal control problems for (time-)delayed stochastic differential equations with jumps. W...
This paper is concerned with a discounted optimal control problem of partially observed forward-back...
This paper deals with the optimal control problem in which the controlled system is described by a f...
Abstract. This paper deals with the optimal control problem in which the controlled system is descri...
This paper deals with the optimal control problem in which the controlled system is descri...
In this paper, we study the problem of optimal control of backward stochastic differential equations...
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryag...
Abstract We investigate a stochastic optimal control problem where the controlled system is depicted...
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differenti...
We study an optimal control problem on infinite horizon for a controlled stochastic differential equ...
In this paper, we investigate a class of infinite-horizon optimal control problems for stochastic di...
This book focuses on maximum principle and verification theorem for incomplete information forward-b...