Book Review: Optimal stochastic control, stochastic target problems, and backward SDE
DOI10.1090/BULL/1548zbMATH Open1357.00011OpenAlexW2510281805MaRDI QIDQ2969094FDOQ2969094
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
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
- Continuous-time stochastic control and optimization with financial applications
- Stochastic control and mathematical modeling. Applications in economics.
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- Applied stochastic control of jump diffusions.
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Cited In (2)
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