A maximum principle for infinite horizon delay equations. (English) Zbl 1273.93175
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.
MSC:
93E20 | Optimal stochastic control |
60J75 | Jump processes (MSC2010) |
34K50 | Stochastic functional-differential equations |
60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
60H20 | Stochastic integral equations |
49K45 | Optimality conditions for problems involving randomness |