Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand,

As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic

First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the bo

An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation

This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing system