Contrôle optimal stochastique à horizon in ni

Abstract

We prove maximum principles of optimal control of stochastic delay equations in infinite horizon. In the first paper, 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. In the second paper, we study maximum principle in infinite horizon of forward-backward stochastic differential equations with delay, and we apply the results to a recursive utility optimal consumption problem in finance