Bellman inequalities in markov decision deterministic drift processes

DOI10.1080/17442508708833481zbMATH Open0643.90095OpenAlexW2088639055MaRDI QIDQ3786304FDOQ3786304

Authors: Alexander A. Yushkevich 

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833481

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zbMATH Keywords

quasi-variational inequalitiesBellman inequalitiesMarkov decision deterministic drift processes\(\epsilon \)- optimal policiesBellman optimality equationrandomly split time parameter

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Cites Work

• Stochastic optimal control. The discrete time case
• Title not available (Why is that?)
• Markov Decision Drift Processes; Conditions for Optimality Obtained by Discretization
• Continuous time markov decision processes with interventions
• Probability methods for approximations in stochastic control and for elliptic equations
• Negative Dynamic Programming
• Title not available (Why is that?)

Cited In (17)

• On Reducing a Constrained Gradual-Impulsive Control Problem for a Jump Markov Model to a Model with Gradual Control Only
• Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method
• Optimal Control of Piecewise Deterministic Markov Processes
• Finite-horizon piecewise deterministic Markov decision processes with unbounded transition rates
• Verification Theorems for Markov Decision Processes with Controlled Deterministic Drift and Gradual and Impulsive Controls
• Optimal control of semi-Markov processes with a backward stochastic differential equations approach
• Impulsive Control for Continuous-Time Markov Decision Processes
• Impulsive control for continuous-time Markov decision processes: a linear programming approach
• On gradual-impulse control of continuous-time Markov decision processes with exponential utility
• Impulse control of piecewise-deterministic processes
• Title not available (Why is that?)
• Hamilton-Jacobi-Bellman inequality for the average control of piecewise deterministic Markov processes
• Factorization, basic notions and applications
• On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
• Multiconstrained Finite-Horizon Piecewise Deterministic Markov Decision Processes with Unbounded Transition Rates
• Some ideas for comparison of Bellman chains.
• Constrained and unconstrained optimal discounted control of piecewise deterministic Markov processes

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