Stochastic optimal control combined with partial differential equations (PDEs) represents a robust framework for managing systems influenced by inherent uncertainties and spatial-temporal dynamics.

Stochastic control is a mathematical framework used to optimise decision-making in systems influenced by randomness, with widespread applications across economics, engineering, and finance. In the ...

Stochastic control problems in finance often involve complex controls at discrete times. As a result, numerically solving such problems using, for example, methods based on partial differential or ...

Merton, Robert C. "Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics." Diss., Massachusetts Institute of Technology (MIT), 1970.

Stefano Iabichino introduces the application of stochastic optimal control to a bank’s net interest rate income. In his study, he delineates the optimal fund transfer policy, identifies the optimal ...