Existence of optimal transition kernels

MaRDI QIDQ1084073zbMATH OpenFDO

Authors Kevin Hastings

Publication date 1987

Published in Illinois Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

continuous-time stochastic control modelmeasurable selectionoptimal transition kernel

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Continuous-time Markov processes on general state spaces (60J25) Dynamic programming (90C39) Optimal stochastic control (93E20)

Review text

A continuous-time stochastic control model is presented in which the controller is to select for every outcome a probability measure on the future of a canonical process after a fixed time, which minimizes an expected total cost criterion among all available measures for that outcome. Such an optimal transition kernel exists if the state space is Polish, the cost variable is Skorohod lower-semi-continuous and bounded below, and the admissibility multi-function is measurable. The theorem is applied to a problem in which one is to optimally choose the transition probabilities of a semi-Markov step process based on statistical estimates of the a priori sojourn time distributions.

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Cited in

(1)

• Optimal measures and Markov transition kernels

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