Stochastic differential equations (SDEs) have become indispensable in the modelling of financial markets, where random fluctuations and uncertainties prevail. Their role in capturing the dynamic ...

Merton, Robert C. "Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics." Diss., Massachusetts Institute of Technology (MIT), 1970.

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 ...