Dynamic programming principle for stochastic control problems driven by general Lévy noise

Stochastic Analysis and Applications ◽

10.1080/07362994.2016.1207189 ◽

2016 ◽

Vol 34 (6) ◽

pp. 1083-1093 ◽

Author(s):

Ben Goldys ◽

Wei Wu

Keyword(s):

Dynamic Programming ◽

Stochastic Control ◽

Dynamic Programming Principle ◽

Lévy Noise ◽

Control Problems ◽

Stochastic Control Problems ◽

Download Full-text

BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions

Electronic Journal of Probability ◽

10.1214/19-ejp333 ◽

2019 ◽

Vol 24 (0) ◽

Author(s):

Elena Bandini ◽

Fulvia Confortola ◽

Andrea Cosso

Keyword(s):

Dynamic Programming ◽

Stochastic Control ◽

Dynamic Programming Principle ◽

Control Problems ◽

Jump Diffusions ◽

Stochastic Control Problems ◽

Infinite Dimensional

Download Full-text

On a class of singular stochastic control problems driven by Lévy noise

Stochastic Processes and their Applications ◽

10.1016/j.spa.2018.09.002 ◽

2019 ◽

Vol 129 (9) ◽

pp. 3174-3206

Author(s):

Beniamin Goldys ◽

Wei Wu

Keyword(s):

Stochastic Control ◽

Lévy Noise ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems ◽

Download Full-text

Dynamic programming for multidimensional stochastic control problems

Acta Mathematica Sinica English Series ◽

10.1007/s10114-999-0081-5 ◽

1999 ◽

Vol 15 (4) ◽

pp. 485-506 ◽

Author(s):

Jin Ma ◽

Jiongmin Yong

Keyword(s):

Dynamic Programming ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems

Download Full-text

A FORWARD-BACKWARD ALGORITHM FOR STOCHASTIC CONTROL PROBLEMS - Using the Stochastic Maximum Principle as an Alternative to Dynamic Programming

Proceedings of the 1st International Conference on Operations Research and Enterprise Systems ◽

10.5220/0003885900830089 ◽

2012 ◽

Keyword(s):

Dynamic Programming ◽

Maximum Principle ◽

Stochastic Control ◽

Stochastic Maximum Principle ◽

Control Problems ◽

Stochastic Control Problems

Download Full-text

Dynamic programming approach to decentralized stochastic control problems

IEEE Transactions on Automatic Control ◽

10.1109/tac.1975.1101117 ◽

1975 ◽

Vol 20 (6) ◽

pp. 796-797 ◽

Author(s):

T. Yoshikawa

Keyword(s):

Dynamic Programming ◽

Stochastic Control ◽

Programming Approach ◽

Control Problems ◽

Stochastic Control Problems ◽

Dynamic Programming Approach

Download Full-text

An LP approach to dynamic programming principles for stochastic control problems with state constraints

Nonlinear Analysis ◽

10.1016/j.na.2012.09.002 ◽

2013 ◽

Vol 77 ◽

pp. 59-73 ◽

Author(s):

Dan Goreac ◽

Carina Ivaşcu ◽

Oana-Silvia Serea

Keyword(s):

Dynamic Programming ◽

Stochastic Control ◽

State Constraints ◽

Control Problems ◽

Stochastic Control Problems

Download Full-text

Dynamic programming approach to decentralized stochastic control problems

10.1109/cdc.1974.270428 ◽

1974 ◽

Author(s):

Tsuneo Yoshikawa

Keyword(s):

Dynamic Programming ◽

Stochastic Control ◽

Programming Approach ◽

Control Problems ◽

Stochastic Control Problems ◽

Dynamic Programming Approach

Download Full-text

Dynamic Programming and Error Estimates for Stochastic Control Problems with Maximum Cost

Applied Mathematics & Optimization ◽

10.1007/s00245-014-9255-3 ◽

2014 ◽

Vol 71 (1) ◽

pp. 125-163 ◽

Author(s):

Olivier Bokanowski ◽

Athena Picarelli ◽

Hasnaa Zidani

Keyword(s):

Dynamic Programming ◽

Error Estimates ◽

Stochastic Control ◽

Control Problems ◽

Maximum Cost ◽

Stochastic Control Problems

Download Full-text

Decoupling Non-Sequential Stochastic Control Problems

1991 American Control Conference ◽

10.23919/acc.1991.4791883 ◽

1991 ◽

Author(s):

Mark S. Andersland

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems

Download Full-text

On the maximum principle for stochastic control problems

Probability Theory and Applications ◽

10.1515/9783112314227-105 ◽

1987 ◽

pp. 777-782

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

The Maximum Principle

Download Full-text