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

DOI10.1090/BULL/1548MaRDI QIDQ2969094zbMATH OpenOpenAlexFDO

Authors 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

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

Cites work

• scientific article; zbMATH DE number 4091389 (Why is no real title available?)
• scientific article; zbMATH DE number 3710064 (Why is no real title available?)
• scientific article; zbMATH DE number 3460142 (Why is no real title available?)
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• scientific article; zbMATH DE number 1233798 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Applied stochastic control of jump diffusions.
• Continuous-time stochastic control and optimization with financial applications
• Stochastic control and mathematical modeling. Applications in economics.

Cited in

(2)

• Book Reviews
• Book review

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