What are some good references to study Stochastic Control with applications to Finance, like the Merton problem and other variants? Books or review papers?
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4 Answers
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Peter Forsyth of UWaterloo is my favourite author on this topic (one of my top three in MathFin!)
Personal Homepage with Lots of Papers
Optimal allocation under wealth goals, optimal decumulation strategies, etc
I find his writing style very honest and open, yet to find a typo and the notation is super clear.
answered May 28, 2022 at 6:34
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$\begingroup$ Thank you! I will keep an eye out for his papers in my journey of studying this area. $\endgroup$ Commented May 29, 2022 at 8:01
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Look into Huyên Pham, Continuous-time Stochastic Control and Optimization with Financial Applications; Salvatore Federico, Giorgio Ferrari, Luca Regis (Editors). Applications of Stochastic Optimal Control to Economics and Finance.
answered May 27, 2022 at 13:10
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2$\begingroup$ Thank you! I was able to get ahold of Pham's book and it appears to be what I was looking for. $\endgroup$ Commented May 29, 2022 at 7:58
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it is a bit late but the 2007 book "Applied Stochastic Control of Jump Diffusions" from Oksendal and Sulem is quite good too.
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Best Book in my opinion is to read 'Derivatives Principles and Practice' by Sundaram Das. Please buy it.
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4$\begingroup$ Looking through the table of contents, are you sure that the book covers stochastic control theory? It looks more like a similar version to Hull's book? $\endgroup$– KevinCommented May 27, 2022 at 12:33