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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