Markov branching decision chains with interest-rate-dependent rewards

DOI10.1017/S0269964800003715MaRDI QIDQ2805311zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3148886 (Why is no real title available?)
• A generalized inverse method for asymptotic linear programming
• Computation of optimal policies in discounted semi-Markov decision chains
• Computing a Bias-Optimal Policy in a Discrete-Time Markov Decision Problem
• Constrained Markov Decision Chains
• Constrained Undiscounted Stochastic Dynamic Programming
• Discrete Dynamic Programming
• Discrete Dynamic Programming with Sensitive Discount Optimality Criteria
• Discrete Dynamic Programming with a Small Interest Rate
• Extreme points of Leontief substitution systems
• Linear Programming and Markov Decision Chains
• Markov Renewal Programming by Linear Fractional Programming
• Markov Renewal Programs with Small Interest Rates
• Markov-Renewal Programming. I: Formulation, Finite Return Models
• Multichain Markov Renewal Programs
• Normalized Markov Decision Chains I; Sensitive Discount Optimality
• On sequential decisions and Markov chains
• Optimal Solution of a Dynamic Leontief Model with Substitution
• Optimality of Piecewise-Constant Policies in Semi-Markov Decision Chains
• Stochastic Games

Cited in

(3)

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

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