International audienceUsing the linear programming approach to stochastic control introduced in [6] and [10], we provide a semigroup property for some set of probability measures leading to dynamic programming principles for stochastic control problems. An abstract principle is provided for general bounded costs. Linearized versions are obtained under further (semi)continuity assumptions
We consider a class of multistage stochastic linear programs in which at each stage a coherent risk ...
202103 bcvcAccepted ManuscriptRGCHong Kong Early Career Scheme No. 25302116Publishe
Sequential decision-making via dynamic programming. Unified approach to optimal control of stochasti...
International audienceWe study a class of nonlinear stochastic control problems with semicontinuous ...
International audienceThis paper aims at studying a class of discontinuous deterministic control pro...
We present linearization techniques for the Mayer stochastic control problem and the L∞-control prob...
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic ...
This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a co...
International audienceWe present two applications of the linearization techniques in stochastic opti...
In this thesis, we investigate the linear programming framework for exit-time stochastic control pro...
We study stochasticmotion planning problems which involve a controlled process, with possibly discon...
International audienceWe study two classes of stochastic control problems with semicontinuous cost: ...
Introduction to Stochastic Dynamic Programming presents the basic theory and examines the scope of a...
AbstractWe study two classes of stochastic control problems with semicontinuous cost: the Mayer prob...
Abstract: This paper examines the numerical implementation of a linear pro-gramming (LP) formulation...
We consider a class of multistage stochastic linear programs in which at each stage a coherent risk ...
202103 bcvcAccepted ManuscriptRGCHong Kong Early Career Scheme No. 25302116Publishe
Sequential decision-making via dynamic programming. Unified approach to optimal control of stochasti...
International audienceWe study a class of nonlinear stochastic control problems with semicontinuous ...
International audienceThis paper aims at studying a class of discontinuous deterministic control pro...
We present linearization techniques for the Mayer stochastic control problem and the L∞-control prob...
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic ...
This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a co...
International audienceWe present two applications of the linearization techniques in stochastic opti...
In this thesis, we investigate the linear programming framework for exit-time stochastic control pro...
We study stochasticmotion planning problems which involve a controlled process, with possibly discon...
International audienceWe study two classes of stochastic control problems with semicontinuous cost: ...
Introduction to Stochastic Dynamic Programming presents the basic theory and examines the scope of a...
AbstractWe study two classes of stochastic control problems with semicontinuous cost: the Mayer prob...
Abstract: This paper examines the numerical implementation of a linear pro-gramming (LP) formulation...
We consider a class of multistage stochastic linear programs in which at each stage a coherent risk ...
202103 bcvcAccepted ManuscriptRGCHong Kong Early Career Scheme No. 25302116Publishe
Sequential decision-making via dynamic programming. Unified approach to optimal control of stochasti...