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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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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creator Agram, N.
Haadem, S.
Øksendal, B.
Proske, F.
description 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]
doi_str_mv 10.1137/120882809
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source SIAM Journals Online; ABI/INFORM Collection
subjects Applied mathematics
Delay
Dynamic programming
Economics
Flow control
Growth models
Horizon
Matematik
Mathematical analysis
Mathematics
Maximum principle
Optimal control
Optimization
Principles
Stochasticity
title A Maximum Principle for Infinite Horizon Delay Equations
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