Study References for Stochastic Control in Finance

Summary

The document collects suggestions for studying stochastic control and optimization in finance, including the Merton portfolio problem and related topics. Contributors point to work on optimal wealth allocation and decumulation, as well as books covering continuous-time control, financial applications, economics, and jump-diffusion models. These references offer routes into both the mathematical framework and its application to investment and derivatives problems.

The answers are recommendations rather than a structured syllabus, comparison of methods, or explanation of stochastic-control techniques. One contributor highlights the clarity and range of a particular author's papers, while others name books for more formal study. A final suggestion promotes a derivatives text without explaining its relevance to stochastic control, so it provides less guidance than the other recommendations. The document does not assess prerequisites, editions, or which resource best suits a given background; readers will need to choose based on their goals and familiarity with continuous-time probability and optimization.

Key ideas

• Stochastic control provides a framework for financial optimization problems such as the Merton problem.
• Suggested topics include wealth allocation and decumulation strategies.
• The references span continuous-time control, finance applications, economics, and jump diffusions.
• The recommendations are personal pointers, not a comparative syllabus or technical tutorial.
• Readers should select materials based on their background and study goals.

Tags

# References for Stochastic Control for finance


# References for Stochastic Control for finance












What are some good references to study Stochastic Control with applications to Finance, like the Merton problem and other variants? Books or review papers?

## Answer by James Spencer-Lavan (score 6)

https://quant.stackexchange.com/a/71056

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.

## Answer by Dimitri Vulis (score 3)

https://quant.stackexchange.com/a/71047

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.

## Answer by pierrot (score 2)

https://quant.stackexchange.com/a/77850

it is a bit late but the 2007 book "Applied Stochastic Control of Jump Diffusions" from Oksendal and Sulem is quite good too.

## Answer by shantanujoshii (score 0)

https://quant.stackexchange.com/a/71046

Best Book in my opinion is to read 'Derivatives Principles and Practice' by Sundaram Das. Please buy it.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.