Fall 2025

References and materials

[1] Huyên Pham. Continuous-time Stochastic Control and Optimization with Financial Applications.

[2] Goran Peskir, Albert Shiryaev. Optimal Stopping and Free-Boundary Problems.

[3] Jiongmin Yong and Xun Yu Zhou. Stochastic Controls: Hamiltonian Systems and HJB Equations

[4] Lecture notes by Ramon van Handel: https://web.math.princeton.edu/~rvan/acm217/ACM217.pdf

[5] Philip Protter, Stochastic Integration and Differential Equations

[6] Nizar Touzi. Optimal Stochastic Control, Stochastic Target Problems and Backward SDE

[7] Dellacherie, C., and Meyer, P.A. (1978). Probabilities and Potential (Vol. 29). In North-Holland Mathematics Studies. Hermann, Paris.

[8] Dellacherie, C., and Meyer, P.A. (1982). Probabilities and Potential B: Theory of Martingales (Vol. 72). In North-Holland Mathematics Studies. Hermann, Paris.

[9] Durret, R. (2019). Probability: Theory and Examples (5th ed.). Cambridge: Cambridge University Press.