© 2016 IEEE. We explore a model-based approach to reinforcement learning where partially or totally unknown dynamics are learned and explicit planning is performed. We learn dynamics with neural networks, and plan behaviors with differential dynamic programming (DDP). In order to handle complicated dynamics, such as manipulating liquids (pouring), we consider temporally decomposed dynamics. We start from our recent work [1] where we used locally weighted regression (LWR) to model dynamics. The major contribution of this paper is making use of deep learning in the form of neural networks with stochastic DDP, and showing the advantages of neural networks over LWR. For this purpose, we extend neural networks for: (1) modeling prediction error and output noise, (2) computing an output probability distribution for a given input distribution, and (3) computing gradients of output expectation with respect to an input. Since neural networks have nonlinear activation functions, these extensions were not easy. We provide an analytic solution for these extensions using some simplifying assumptions. We verified this method in pouring simulation experiments. The learning performance with neural networks was better than that of LWR. The amount of spilled materials was reduced. We also present early results of robot experiments using a PR2. Accompanying video: https://youtu.be/aM3hE1J5W98