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Right now, even though I have a mathematical background, I did not take up control theory in college. I'm looking for an introductory text on (stochastic?) control theory as applicable to quantitative finance.

I did look up control theory textbooks on amazon but they're explicitly for electrical engineering, and I have no idea which topics covered in those books are not used at all in finance (e.g., Optimal Control Theory: An Introduction by Kirk).

If they are no books specifically for control theory in finance, could anyone give me a comprehensive list of topics to cover so that I can cover the mathematical prerequisites for portfolio management/financial engineering? Thanks

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    $\begingroup$ Control theory books are of 2 kinds: the purely theoretical, and the more engineering oriented. I believe any of the latter kind are suitable for Finance, there were none specifically oriented to finance when I studied it and I don't think there are any now (as yet). The topics of interest are the typical ones: state space systems, LQG, Pontryagin, Kalman, etc. The basic stuff. $\endgroup$ – Alex C Mar 7 '18 at 14:35
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    $\begingroup$ I also studied a book Optimal Control Theory: Applications to Management Science and Economics, By Suresh P. Sethi, Gerald L. Thompson. But keep in mind that it is not at all about Finance. $\endgroup$ – Alex C Mar 7 '18 at 14:41
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    $\begingroup$ I did not come across a real control theory application in my career so far. There is the field of dynamic programming however, where I would say both optimization as well as programming kind of take over. For a real mathematical stochastic control theory book you probably need to be a mathematician and I dont say that lightly. $\endgroup$ – vanguard2k Mar 7 '18 at 16:40
  • $\begingroup$ @AlexC: You mentioned the topics of interest. Could you give a full list of all such topics (to your knowledge)? That way I can just look them up online or find control theory books that address these topics. I did find a textbook reference in a related answer : amazon.com/dp/3642100449. Do you think this book would be useful, or is it too theoretical? $\endgroup$ – u10021230 Mar 8 '18 at 6:52
  • $\begingroup$ @AlexC: Another one is this: amazon.com/…. Again, I want to have an idea whether this book indeed covers the desired topics or foundation. $\endgroup$ – u10021230 Mar 8 '18 at 7:00

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