On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation (Q1103586)
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| Language | Label | Description | Also known as |
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| English | On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation |
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On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation (English)
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1988
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This paper deals with the finite horizon Bellman equation for controlled Markov jump models with unbounded jump and cost rates. Using the method of time discretization, the author proves the existence of a solution of the Bellman equation and constructs an approximation scheme which can be computed in concrete situations. An application to a controlled infinite server is discussed.
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finite horizon Bellman equation
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controlled Markov jump models
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unbounded jump and cost rates
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time discretization
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approximation scheme
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