Optimal models for the first arrival time distribution function in continuous time -- with a special case (Q1335393)

The paper deals with a continuous time Markov decision process with finite state and action sets. For a given subset of states, the authors consider a first time when the process enters this subset (first arrival time). They also define the total reward up to this time, consider distributions of these random variables, and study their stochastic minimization over the set of all stationary policies.