54 citations · 93 across the 23 of their papers we have counts for
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math.OC2018
A Framework for the Dynamic Programming Principle and Martingale-generated Control Correspondences
Roman Fayvisovich, Gordan Zitkovic
We construct an abstract framework in which the dynamic programming principle (DPP) can be readily proven. It encompasses a broad range of common stochastic control problems in the…
math.OC2015
Existence, Characterization and Approximation in the Generalized Monotone-Follower Problem
Jiexian Li, Gordan Zitkovic
We revisit the classical monotone-follower problem and consider it in a generalized formulation. Our approach is based on a compactness substitute for nondecreasing processes, the…
math.OC2013★ 1 cited
Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures
Gordan Zitkovic
We describe an abstract control-theoretic framework in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small nu…