Jiongmin Yong Books

Stochastic Controls
Stochastic Controls

By Xun Yu Zhou, Jiongmin Yong

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"This book gives a self-contained and systematic exposition of the major optimal control theory for continuous-time stochastic diffusion processes, including the Pontryagin type maximum principle (...

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Optimal Control Theory for Infinite Dimensional Systems Systems Control Foundations Applications
Optimal Control Theory for Infinite Dimensional Systems
Stochastic Controls
Stochastic Controls

By Jiongmin Yong

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The maximum principle and dynamic programming are the two most commonly used approaches in solving optimal control problems. These approaches have been developed independently. The theme of this bo...

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Stochastic Controls
Stochastic Linear Quadratic Optimal Control Theory
Control theory of distributed parameter systems and applications
Forward Backward Stochastic Differential Equations and their Applications Lecture Notes in Mathematics
Forward Backward Stochastic Differential Equations and their Applications Lecture Notes in Mathematics

By Jin Ma, Jiongmin Yong

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This volume is a survey/monograph on the recently developed theory of forward-backward stochastic differential equations (FBSDEs). Basic techniques such as the method of optimal control, the "Four...

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Recent Developments in Mathematical Finance
Control Theory and Related Topics

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