Bellman inequalities in markov decision deterministic drift processes

DOI10.1080/17442508708833481zbMath0643.90095OpenAlexW2088639055MaRDI QIDQ3786304

Alexander A. Yushkevich

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833481

zbMATH Keywords

quasi-variational inequalitiesBellman inequalitiesMarkov decision deterministic drift processes\(\epsilon \)- optimal policiesBellman optimality equationrandomly split time parameter

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Related Items (14)

Optimal Control of Piecewise Deterministic Markov Processes ⋮ Impulsive control for continuous-time Markov decision processes: a linear programming approach ⋮ Impulse control of piecewise-deterministic processes ⋮ Finite-horizon piecewise deterministic Markov decision processes with unbounded transition rates ⋮ Hamilton-Jacobi-Bellman inequality for the average control of piecewise deterministic Markov processes ⋮ Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method ⋮ Factorization, basic notions and applications ⋮ Multiconstrained Finite-Horizon Piecewise Deterministic Markov Decision Processes with Unbounded Transition Rates ⋮ Optimal control of semi-Markov processes with a backward stochastic differential equations approach ⋮ On Reducing a Constrained Gradual-Impulsive Control Problem for a Jump Markov Model to a Model with Gradual Control Only ⋮ Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes ⋮ On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance ⋮ Impulsive Control for Continuous-Time Markov Decision Processes ⋮ On gradual-impulse control of continuous-time Markov decision processes with exponential utility

Cites Work

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• Probability methods for approximations in stochastic control and for elliptic equations
• Stochastic optimal control. The discrete time case
• Markov Decision Drift Processes; Conditions for Optimality Obtained by Discretization
• Continuous time markov decision processes with interventions
• Negative Dynamic Programming

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