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Reference request: Introduction to stochastic control theory
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 ...
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Stochastic differential equation associated with an optimal control problem
We know how to find the stochastic differential equation (Hamilton-Jacobi-Bellman equation, HJB) of the control problem where a process $X_t$ is controlled up until it is stopped at a stopping time $\...