Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains

DOI10.1007/s00186-008-0276-zzbMath1177.93101MaRDI QIDQ1044212

Onésimo Hernández-Lerma, Tomás Prieto-Rumeau

Publication date: 11 December 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0276-z

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

93E20: Optimal stochastic control

90C40: Markov and semi-Markov decision processes

Related Items

Asymptotic Normality of Discrete-Time Markov Control Processes, Variance minimization for continuous-time Markov decision processes: two approaches, A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder), Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces

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