A Maximum Principle for Infinite Horizon Delay Equations

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 with an application to the optimal consumption rate fr...

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Bibliographic Details
Published in:SIAM journal on mathematical analysis 2013-01, Vol.45 (4), p.2499-2522
Main Authors: Agram, N., Haadem, S., Øksendal, B., Proske, F.
Format: Article
Language:English
Subjects:
Applied mathematics
Delay
Dynamic programming
Economics
Flow control
Growth models
Horizon
Matematik
Mathematical analysis
Mathematics
Maximum principle
Optimal control
Optimization
Principles
Stochasticity
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Summary: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 with an application to the optimal consumption rate from an economic quantity. [PUBLICATION ABSTRACT]
ISSN:0036-1410
1095-7154
1095-7154
DOI:10.1137/120882809