The dynamic programming equation for a stochastic volatility optimal control problem

Automatica ◽

10.1016/j.automatica.2019.05.046 ◽

2019 ◽

Vol 107 ◽

pp. 119-124

Author(s):

Viorel Barbu

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Volatility ◽

Dynamic Programming Equation

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The Dynamic Programming Equation for the Time-Optimal Control Problem in Infinite Dimensions

SIAM Journal on Control and Optimization ◽

10.1137/0329024 ◽

1991 ◽

Vol 29 (2) ◽

pp. 445-456 ◽

Cited By ~ 18

Author(s):

Viorel Barbu

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Optimal Control Problem ◽

Control Problem ◽

Time Optimal Control ◽

Infinite Dimensions ◽

Dynamic Programming Equation ◽

Time Optimal ◽

Time Optimal Control Problem

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Iterative Dynamic Programming for Optimal Control Problem with Isoperimetric Constraint and Its Application to Optimal Eco-driving Control of Electric Vehicle

IEEJ Journal of Industry Applications ◽

10.1541/ieejjia.7.80 ◽

2018 ◽

Vol 7 (1) ◽

pp. 80-92 ◽

Cited By ~ 9

Author(s):

Van-Duc Doan ◽

Hiroshi Fujimoto ◽

Takafumi Koseki ◽

Tomio Yasuda ◽

Hiroyuki Kishi ◽

...

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Optimal Control Problem ◽

Control Problem ◽

Electric Vehicle ◽

Isoperimetric Constraint ◽

Iterative Dynamic Programming

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

SIAM Journal on Control and Optimization ◽

10.1137/060671917 ◽

2008 ◽

Vol 47 (5) ◽

pp. 2616-2641 ◽

Cited By ~ 31

Author(s):

Zhen Wu ◽

Zhiyong Yu

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Optimal Control Problem ◽

Control Problem ◽

Bellman Equation ◽

Dynamic Programming Principle ◽

Hamilton Jacobi Bellman Equation ◽

Hamilton Jacobi Bellman

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Dynamic programming approach to a minimum distance optimal control problem

42nd IEEE International Conference on Decision and Control (IEEE Cat. No.03CH37475) ◽

10.1109/cdc.2003.1272567 ◽

2004 ◽

Cited By ~ 3

Author(s):

A. Melikyan ◽

N. Hovakimyan ◽

Y. Ikeda

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Optimal Control Problem ◽

Control Problem ◽

Minimum Distance ◽

Programming Approach ◽

Dynamic Programming Approach

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Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion

Stochastic Processes and their Applications ◽

10.1016/j.spa.2016.06.002 ◽

2017 ◽

Vol 127 (1) ◽

pp. 107-134 ◽

Cited By ~ 13

Author(s):

Mingshang Hu ◽

Shaolin Ji

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Brownian Motion ◽

Optimal Control Problem ◽

Control Problem ◽

Dynamic Programming Principle

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Dynamic programming principle for stochastic recursive optimal control problem with delayed systems

ESAIM Control Optimisation and Calculus of Variations ◽

10.1051/cocv/2011187 ◽

2012 ◽

Vol 18 (4) ◽

pp. 1005-1026 ◽

Cited By ~ 11

Author(s):

Li Chen ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Optimal Control Problem ◽

Control Problem ◽

Dynamic Programming Principle ◽

Delayed Systems

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A Discrete Dynamic Programming Approximation to the Multiobjective Deterministic Finite Horizon Optimal Control Problem

SIAM Journal on Control and Optimization ◽

10.1137/080720723 ◽

2009 ◽

Vol 48 (4) ◽

pp. 2581-2599 ◽

Cited By ~ 2

Author(s):

A. Guigue ◽

M. Ahmadi ◽

M. J. D. Hayes ◽

R. G. Langlois

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Optimal Control Problem ◽

Control Problem ◽

Finite Horizon ◽

Discrete Dynamic ◽

Discrete Dynamic Programming

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Solving of optimal control problem of parabolic PDEs in exploitation of oil by iterative dynamic programming

Applied Mathematics and Computation ◽

10.1016/j.amc.2006.02.038 ◽

2006 ◽

Vol 181 (2) ◽

pp. 1505-1512 ◽

Cited By ~ 1

Author(s):

S. Effati ◽

M. Janfada ◽

M. Esmaeili ◽

H. Roohparvar

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Optimal Control Problem ◽

Control Problem ◽

Parabolic Pdes ◽

Iterative Dynamic Programming

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Necessary and sufficient dynamic programming conditions for optimal control problem with state constraints

System Modelling and Optimization - Lecture Notes in Control and Information Sciences ◽

10.1007/bfb0008382 ◽

2005 ◽

pp. 311-320 ◽

Cited By ~ 2

Author(s):

Micael M. Khrustalev

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Optimal Control Problem ◽

Control Problem ◽

State Constraints ◽

Necessary And Sufficient

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Adaptive dynamic programming for nonaffine nonlinear optimal control problem with state constraints

Neurocomputing ◽

10.1016/j.neucom.2021.04.134 ◽

2021 ◽

Author(s):

Jingliang Duan ◽

Zhengyu Liu ◽

Shengbo Eben Li ◽

Qi Sun ◽

Zhenzhong Jia

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Optimal Control Problem ◽

Control Problem ◽

State Constraints ◽

Nonlinear Optimal Control ◽

Adaptive Dynamic Programming ◽

Adaptive Dynamic ◽

Nonlinear Optimal Control Problem

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