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Which textbooks and online courses would you recommend to learn :

  • stochastic optimization
  • mean field games applied to quantitative finance.

My goal would be to read research articles like the ones written by Dr Emma Hubert I am familiar with stochastic calculus. I may prefer an online course, with corrected exercises, instead of a textbook. There are several textbooks. Which one could provide an introduction ?

Some textbooks :

  • Fleming H. and M. Soner (1993). Controlled Markov processes and viscosity solutions. Springer

  • Oksendal B. and A. Sulem (2006). Applied Stochastic Control Of Jump Diffusions. Springer

  • Dimitri P. Bertsekas (1995). Dynamic programming and optimal control. Athena Scientific

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    $\begingroup$ You mention that there are several textbooks. Can you please list them here. $\endgroup$
    – Gordon
    Apr 21, 2021 at 14:06

1 Answer 1

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I answer my own question. A starting point would be : the summer school on mean field games, provided by the University of Chicago.

summer school

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