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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
Stochastic Control Theory
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Authors: Makiko Nisio
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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
Continuous-time Stochastic Control and Optimization with Financial Applications
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Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand,
Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
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This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic contro
Stochastic Control in Discrete and Continuous Time
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This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1),