The goal of this textbook is to introduce students to the stochastic analysis tools that play an increasing role in the probabilistic approach to optimization p

The goal of this textbook is to introduce students to the stochastic analysis tools that play an increasing role in the probabilistic approach to optimization p

This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stocha

This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection w

This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stocha