Stochastic Control, Computational Methods, and Applications

In recent years, significant progress has been made in stochastic control and related fields. As work continues on forward-backward stochastic differential equations, new issues on time inconsistency raising in stochastic control have been found. Both the mathematical community and the control engineering community have shown interest in treating mean-field games and mean-field type controls. Computational aspects of stochastic and deterministic controls remain a challenging issue. The idea of the max-plus approach has been much exploited. New computational methods for solving the associated Hamilton-Jacobi-Bellman (HJB) partial differential equations (including solutions for deterministic controls) have also been investigated.