121 citations · 301 across the 31 of their papers we have counts for
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math.OC2013★ 46 cited
Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework
Nicole El Karoui, Xiaolu Tan
We give a brief presentation of the capacity theory and show how it derives naturally a measurable selection theorem following the approach of Dellacherie (1972). Then we present t…
math.OC2013★ 61 cited
Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems
Nicole El Karoui, Xiaolu Tan
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By c…