As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze c
This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic contro
This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1),
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand,