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Showing 2012 · math.OCShow all
3 papers · 2 filters
math.OC2012★ 15 cited
Sequential Convex Programming Methods for A Class of Structured Nonlinear Programming
Zhaosong Lu
In this paper we study a broad class of structured nonlinear programming (SNLP) problems. In particular, we first establish the first-order optimality conditions for them. Then we…
math.OC2012★ 8 cited
On regularity properties and approximations of value functions for stochastic differential games in domains
N. V. Krylov
We prove that for any constant , the value functions for time homogeneous stochastic differential games in the whole space can be approximated up to a constant over by…
math.OC2012
On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
N. V. Krylov
We prove the dynamic programming principe for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the fi…