On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation

DOI10.1016/0304-4149(88)90071-3MaRDI QIDQ1103586zbMATH OpenOpenAlexFDO

Authors Nico M. van Dijk

Publication date 1988

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(88)90071-3

zbMATH Keywords

time discretizationapproximation schemecontrolled Markov jump modelsfinite horizon Bellman equationunbounded jump and cost rates

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Theoretical approximation in context of PDEs (35A35)

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Cites work

• scientific article; zbMATH DE number 3876339 (Why is no real title available?)
• scientific article; zbMATH DE number 3906232 (Why is no real title available?)
• scientific article; zbMATH DE number 3907509 (Why is no real title available?)
• scientific article; zbMATH DE number 3592547 (Why is no real title available?)
• scientific article; zbMATH DE number 3639528 (Why is no real title available?)
• Continuous-time markov decision processes with nonzero terminal reward
• Controlled Jump Markov Models
• Controlled jump processes
• Discretization and Weak Convergence in Markov Decision Drift Processes
• Finite State Continuous Time Markov Decision Processes with a Finite Planning Horizon
• Necessary and Sufficient Conditions for Optimal Control of Semi-Markov Jump Processes
• Optimal Control of Jump Processes
• Relation between continuous and discrete time markovian decision problems

Cited in

(10)

• On the Assignment of Customers to Parallel Queues
• Regularization of Bellman equations for infinite-horizon probabilistic properties
• Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
• Strong average optimality criterion for continuous-time Markov decision processes
• Approximate uniformization for continuous-time Markov chains with an application to performability analysis
• On Suboptimal Policies in Multiclass Tandem Models
• A note on constructing e-optimal policies for controlled markov jump models with unbounded characteristics
• scientific article; zbMATH DE number 1014727 (Why is no real title available?)
• Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
• Finite approximation for finite-horizon continuous-time Markov decision processes

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