Book Review: Optimal stochastic control, stochastic target problems, and backward SDE

DOI10.1090/BULL/1548zbMath1357.00011OpenAlexW2510281805MaRDI QIDQ2969094

Jaime San Martín

Publication date: 14 March 2017

Published in: Bulletin of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/bull/1548

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Dynamical systems in optimization and economics (37N40) External book reviews (00A17) Viscosity solutions to PDEs (35D40)

Cites Work

• Applied stochastic control of jump diffusions.
• Continuous-time stochastic control and optimization with financial applications
• Stochastic Control and Mathematical Modeling
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