Optimization Over Time Volume 1: Dynamic Programming and Stochastic Control (Peter Whittle)

JOURNAL ARTICLE published April 1984 in SIAM Review

Authors: Richard Serfozo

Optimization Over Time—Volume II: Dynamic Programming and Stochastic Control (Peter Whittle)

JOURNAL ARTICLE published March 1985 in SIAM Review

Authors: Robert J. Elliott

Vector-Valued Dynamic Programming

JOURNAL ARTICLE published May 1983 in SIAM Journal on Control and Optimization

Authors: Mordechai I. Henig

Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control

JOURNAL ARTICLE published November 1970 in SIAM Journal on Control

Authors: Raymond Rishel

Discrete Approximation of Continuous Time Stochastic Control Systems

JOURNAL ARTICLE published January 1983 in SIAM Journal on Control and Optimization

Authors: Norbert Christopeit

Dynamic Programming Approach to Stochastic Evolution Equations

JOURNAL ARTICLE published January 1979 in SIAM Journal on Control and Optimization

Authors: Akira Ichikawa

Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming

JOURNAL ARTICLE published January 2014 in SIAM Journal on Optimization

Authors: Suvrajeet Sen | Zhihong Zhou

Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients

JOURNAL ARTICLE published January 2015 in SIAM Journal on Control and Optimization

Authors: Shanjian Tang

Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

JOURNAL ARTICLE published January 2017 in SIAM Journal on Control and Optimization

Research funded by Agence Nationale de la Recherche (ANR-15-CE05-0024)

Authors: Huyên Pham | Xiaoli Wei

Singular Optimal Stochastic Controls II: Dynamic programming

JOURNAL ARTICLE published May 1995 in SIAM Journal on Control and Optimization

Authors: Ulrich G. Haussmann | Wulin Suo

Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming

JOURNAL ARTICLE published January 2021 in SIAM Journal on Optimization

Research funded by Air Force Office of Scientific Research (FA9550-20-1-0006) | Office of Naval Research (N00014-20-1-2077) | National Science Foundation (CMMI-1822327)

Authors: Harsha Gangammanavar | Suvrajeet Sen

Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

JOURNAL ARTICLE published January 2002 in SIAM Journal on Control and Optimization

Authors: H. Mete Soner | Nizar Touzi

Measuring the Goodness of Orthogonal Array Discretizations for Stochastic Programming and Stochastic Dynamic Programming

JOURNAL ARTICLE published January 2002 in SIAM Journal on Optimization

Authors: Victoria C. P. Chen

Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs

JOURNAL ARTICLE published January 2009 in SIAM Journal on Control and Optimization

Authors: Nikolaos Englezos | Ioannis Karatzas

The Dynamic Programming Equation for Second Order Stochastic Target Problems

JOURNAL ARTICLE published January 2009 in SIAM Journal on Control and Optimization

Authors: H. Mete Soner | Nizar Touzi

Continuous-Time Robust Dynamic Programming

JOURNAL ARTICLE published January 2019 in SIAM Journal on Control and Optimization

Research funded by National Science Foundation (ECCS-1230040,ECCS-1501044,EPCN-1903781)

Authors: Tao Bian | Zhong-Ping Jiang

Dynamic Programming for Controlled Markov Families: Abstractly and over Martingale Measures

JOURNAL ARTICLE published January 2014 in SIAM Journal on Control and Optimization

Authors: Gordan Žitković

Dynamic Programming and Stochastic Control (Dimitri P. Bertsekas)

JOURNAL ARTICLE published April 1978 in SIAM Review

Authors: Roland E. Larson

Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation

JOURNAL ARTICLE published January 2008 in SIAM Journal on Control and Optimization

Authors: Zhen Wu | Zhiyong Yu

A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls

JOURNAL ARTICLE published January 2013 in SIAM Journal on Control and Optimization

Authors: Erhan Bayraktar | Song Yao