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 ...

The Annals of Applied Probability, Vol. 28, No. 1 (February 2018), pp. 1-34 (34 pages) In this paper, we aim to develop the stochastic control theory of branching diffusion processes where both the ...

Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential ...