Transmission investment planning in deregulated markets faces new challenges particularly as deregulation has introduced more uncertainty to the planning problem. SDDP has been successfully used to optimise continuous dynamic planning problems like hydro scheduling and is modified in this paper to optimise a mixed integer dynamic problem, transmission investment planning. The modifications to SDDP allow for optimisation of lumpy integers such as transmission and generation investment sizes while still utilising the computational benefits of SDDP. The outcome of the optimisation is a set of decision rules that can be used to better understand risk associated with capital investment in power systems.