A maximum principle for infinite horizon delay equations

2012/06/28 by Nacira Agram, Agram, N., Haadem, S. +4
Economics, Econometrics and Finance · #34K50 #49J55 #60H10 #60H20 #60J75 #93E20 #93EXX #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1206.6670

openalex publication_date 2012/06/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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