Book Review
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MathSciNet review:
3686328
Full text of review:
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Book Information:
Author:
N. Touzi
Title:
Optimal stochastic control, stochastic target problems, and backward SDE
Additional book information:
Fields Institute Monographs, Vol. 29,
Springer, New York,
Fields Institute for Research in the Mathematical Sciences, Toronto, ON,
2013,
x+214 pp.,
ISBN 978-1-4614-4286-8
Karl J. Ȧström, Introduction to stochastic control theory, Mathematics in Science and Engineering, Vol. 70, Academic Press, New York-London, 1970. MR 0270799
Wendell H. Fleming and Raymond W. Rishel, Deterministic and stochastic optimal control, Applications of Mathematics, No. 1, Springer-Verlag, Berlin-New York, 1975. MR 0454768
Harold Kushner, Introduction to stochastic control, Holt, Rinehart and Winston, Inc., New York-Montreal, Que.-London, 1971. MR 0280248
Makiko Nisio, Lectures on stochastic control theory, ISI Lecture Notes, vol. 9, Macmillan Co. of India, Ltd., New Delhi, 1981. MR 617741
Hiroaki Morimoto, Stochastic control and mathematical modeling, Encyclopedia of Mathematics and its Applications, vol. 131, Cambridge University Press, Cambridge, 2010. Applications in economics. MR 2590270, DOI 10.1017/CBO9781139087353
Huyên Pham, Continuous-time stochastic control and optimization with financial applications, Stochastic Modelling and Applied Probability, vol. 61, Springer-Verlag, Berlin, 2009. MR 2533355, DOI 10.1007/978-3-540-89500-8
Bernt Øksendal and Agnès Sulem, Applied stochastic control of jump diffusions, Universitext, Springer-Verlag, Berlin, 2005. MR 2109687
Linn I. Sennott, Stochastic dynamic programming and the control of queueing systems, Wiley Series in Probability and Statistics: Applied Probability and Statistics, John Wiley & Sons, Inc., New York, 1999. A Wiley-Interscience Publication. MR 1645435
Robert F. Stengel, Stochastic optimal control, A Wiley-Interscience Publication, John Wiley & Sons, Inc., New York, 1986. Theory and application. MR 891407
Jiongmin Yong and Xun Yu Zhou, Stochastic controls, Applications of Mathematics (New York), vol. 43, Springer-Verlag, New York, 1999. Hamiltonian systems and HJB equations. MR 1696772, DOI 10.1007/978-1-4612-1466-3
References
- Karl J. Ȧström, Introduction to stochastic control theory, Mathematics in Science and Engineering, Vol. 70, Academic Press, New York-London, 1970. MR 0270799
- Wendell H. Fleming and Raymond W. Rishel, Deterministic and stochastic optimal control, Springer-Verlag, Berlin-New York, 1975. Applications of Mathematics, No. 1. MR 0454768
- Harold Kushner, Introduction to stochastic control, Holt, Rinehart and Winston, Inc., New York-Montreal, Que.-London, 1971. MR 0280248
- Makiko Nisio, Lectures on stochastic control theory, ISI Lecture Notes, vol. 9, Macmillan Co. of India, Ltd., New Delhi, 1981. MR 617741
- Hiroaki Morimoto, Stochastic control and mathematical modeling, Encyclopedia of Mathematics and its Applications, vol. 131, Cambridge University Press, Cambridge, 2010. Applications in economics. MR 2590270, DOI 10.1017/CBO9781139087353
- Huyên Pham, Continuous-time stochastic control and optimization with financial applications, Stochastic Modelling and Applied Probability, vol. 61, Springer-Verlag, Berlin, 2009. MR 2533355, DOI 10.1007/978-3-540-89500-8
- Bernt Øksendal and Agnès Sulem, Applied stochastic control of jump diffusions, Universitext, Springer-Verlag, Berlin, 2005. MR 2109687
- Linn I. Sennott, Stochastic dynamic programming and the control of queueing systems, Wiley Series in Probability and Statistics: Applied Probability and Statistics, John Wiley & Sons, Inc., New York, 1999. A Wiley-Interscience Publication. MR 1645435
- Robert F. Stengel, Stochastic optimal control, A Wiley-Interscience Publication, John Wiley & Sons, Inc., New York, 1986. Theory and application. MR 891407
- Jiongmin Yong and Xun Yu Zhou, Stochastic controls: Hamiltonian systems and HJB equations, Applications of Mathematics (New York), vol. 43, Springer-Verlag, New York, 1999. MR 1696772, DOI 10.1007/978-1-4612-1466-3
Review Information:
Reviewer:
Jaime San Martín
Affiliation:
Center for Mathematical Modeling and Department of Mathematical Engineering Universidad de Chile
Email:
jsanmart@dim.uchile.cl
Journal:
Bull. Amer. Math. Soc.
54 (2017), 333-339
DOI:
https://doi.org/10.1090/bull/1548
Published electronically:
August 24, 2016
Review copyright:
© Copyright 2016
American Mathematical Society
