In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by discrete-time optimal control problem driven by fractional noises and on infinite horizon, the stochastic maximum principle for discrete-time control problem driven by fractional noises in infinite horizon is proved. As an application, an optimal investment problem is solved.
Categories: math.OC