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A Maximum Principle for Infinite Horizon Delay Equations

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 2013Embargo end date: 01 Jan 2012 Norway English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Mathematical Analysis, volume 45, pages 2,499-2,522 (issn: 0036-1410, eissn: 1095-7154, Copyright policy )Funded by:EC | INNOSTOCH
Authors: Agram, Nacira; Haadem, Sven; Øksendal, Bernt; Proske, Frank Norbert;

doi: 10.1137/120882809 , 10.48550/arxiv.1206.6670

arXiv: 1206.6670

handle: 10852/41672

A Maximum Principle for Infinite Horizon Delay Equations

Abstract

We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our results by an application to the optimal consumption rate from an economic quantity.

Country
Norway
Related Organizations
Keywords

330, Optimization and Control (math.OC), FOS: Mathematics, 93EXX, 93E20, 60J75, 34K50, 60H10, 60H20, 49J55, Mathematics - Optimization and Control, 510

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
55
Top 10%
Top 10%
Top 10%
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