Optimal control theory for differential equations is a pivotal discipline that combines rigorous mathematical analysis with practical applications in engineering, economics, and the natural sciences.

Optimal control theory provides a rigorous mathematical framework for determining control policies that guide dynamical systems towards a desired performance, often by minimising an associated cost ...

Differential equations and systems analysis. Undergraduate controls and/or signal processing course would satisfy this requirement. A graduate-level systems course is also helpful, but not necessary.

Without resorting to dynamic programming, we determine the decumulation strategy for the holder of a defined contribution pension plan. We formulate this as a constrained stochastic optimal control ...

The Annals of Applied Probability, Vol. 31, No. 5 (October 2021), pp. 2244-2274 (31 pages) We provide an exhaustive treatment of linear-quadratic control problems for a class of stochastic Volterra ...