Markov branching decision chains with interest-rate-dependent rewards

DOI10.1017/S0269964800003715zbMATH Open1335.91121OpenAlexW1980094832MaRDI QIDQ2805311FDOQ2805311

Authors: Arthur F. jun. Veinott, Ying Huang 

Publication date: 11 May 2016

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964800003715

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Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Linear programming (90C05) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
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• On sequential decisions and Markov chains
• Markov-Renewal Programming. I: Formulation, Finite Return Models
• Discrete Dynamic Programming
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• Constrained Undiscounted Stochastic Dynamic Programming
• Linear Programming and Markov Decision Chains
• Multichain Markov Renewal Programs
• Constrained Markov Decision Chains
• Markov Renewal Programming by Linear Fractional Programming
• A generalized inverse method for asymptotic linear programming
• Extreme points of Leontief substitution systems
• Optimal Solution of a Dynamic Leontief Model with Substitution
• Optimality of Piecewise-Constant Policies in Semi-Markov Decision Chains
• Computation of optimal policies in discounted semi-Markov decision chains
• Discrete Dynamic Programming with a Small Interest Rate
• Computing a Bias-Optimal Policy in a Discrete-Time Markov Decision Problem
• Normalized Markov Decision Chains I; Sensitive Discount Optimality

Cited In (3)

• Maximum-stopping-value policies in finite Markov population decision chains
• Finite-horizon Markov population decision chains with constant risk posture
• Optimal halting policies in Markov population decision chains with constant risk posture

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