Dynamic programming provides a road map at each point in time for optimal spending and asset allocation, which have been determined by first considering optimal future behavior stemming from today ...

This note deals with the manner in which dynamic problems, involving probabilistic constraints, may be tackled using the ideas of Lagrange multipliers and efficient solutions. Both the infinite and ...

The paper solves the stochastic inverse optimal problem. Dynamic programming is used to transform the original problem into a differential equation. Such an equation is well-defined (with probability ...