On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation
DOI10.1016/0304-4149(88)90071-3zbMATH Open0645.93072OpenAlexW1978905583MaRDI QIDQ1103586FDOQ1103586
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
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time discretizationapproximation schemecontrolled Markov jump modelsfinite horizon Bellman equationunbounded jump and cost rates
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)
Cites Work
- Finite State Continuous Time Markov Decision Processes with a Finite Planning Horizon
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- Optimal Control of Jump Processes
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- Controlled Jump Markov Models
- Discretization and Weak Convergence in Markov Decision Drift Processes
- Continuous-time markov decision processes with nonzero terminal reward
- Controlled jump processes
- Necessary and Sufficient Conditions for Optimal Control of Semi-Markov Jump Processes
- Relation between continuous and discrete time markovian decision problems
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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
- Title not available (Why is that?)
- 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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