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I’m looking for a nice readable introductory text to stochastic control theory. Background wise, I know some general stochastic analysis and deterministic optimal control theory.

Some criterion I’m looking for, in decreasing order of importance are:

  1. Good supply of intuition and examples.

  2. Not overly long/detailed/general.

  3. Mostly rigorous proofs.

I know of the book Applied Stochastic Control of Jump Diffusions by Oksendal, but am not sure if I can gauge how well it satisfies (1) and (2).

Thanks in advance!

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