In a world dominated by uncertainty, the modelling and understanding of the optimal behaviour of agents are of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision-makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, or in investment decisions. Stochastic control theory provides the methods and results to tackle all such problems.
