Stochastic control for economic models: past, present and the paths ahead

On the 30th anniversary of a meeting between engineers and economists at Princeton University to discuss the potential application of stochastic control methods to economics, this paper provides a review of past, present and paths ahead. The events surrounding some of the key developments of the past are described along with a discussion of the present state of the research and of paths for future research. The paper is structured around the primary methods for solving quadratic-linear economic stochastic control models, namely open loop, classical control, handcrafted feedback rules, optimal feedback, min-max control, optimal feedback rules with parameter uncertainty and dual control. The paper also includes a discussion of software developments in economic stochastic control modeling.