Stochastic optimal control has become a critical framework for addressing decision-making problems under uncertainty, especially in the context of financial market models. By combining probabilistic ...

Stochastic optimal control combined with partial differential equations (PDEs) represents a robust framework for managing systems influenced by inherent uncertainties and spatial-temporal dynamics.

Stochastic control problems in finance often involve complex controls at discrete times. As a result, numerically solving such problems using, for example, methods based on partial differential or ...

Stefano Iabichino introduces the application of stochastic optimal control to a bank’s net interest rate income. In his study, he delineates the optimal fund transfer policy, identifies the optimal ...