Stochastic and Robust Control
H-infinity, risk-sensitive, and adaptive control under uncertainty.
Stochastic and Robust Control. H-infinity, risk-sensitive, and adaptive control under uncertainty.
Foundations and canonical references
The standard treatments of stochastic and robust control approach the subject from complementary angles. Yong, Stochastic Controls: Hamiltonian Systems and HJB Equations (1999) is the anchor reference for the subject and lays out the core definitions, theorems, and worked examples that practitioners return to. Pham, Continuous-Time Stochastic Control and Optimization with Financial Applications (2009) gives a parallel, more proof-oriented exposition of the same material and is widely used as a graduate text.
Open methodological questions for stochastic and robust control include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
- textbook · primary · 1999Stochastic Controls: Hamiltonian Systems and HJB Equationsyong-1999, zhou-1999
- textbook · primary · 2009Continuous-Time Stochastic Control and Optimization with Financial Applicationspham-2009
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