Bellman inequalities in markov decision deterministic drift processes

DOI10.1080/17442508708833481MaRDI QIDQ3786304zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

\(\epsilon \)- optimal policiesBellman inequalitiesBellman optimality equationMarkov decision deterministic drift processesquasi-variational inequalitiesrandomly split time parameter

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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Cites work

• Continuous time markov decision processes with interventions
• scientific article; zbMATH DE number 3823489 (Why is no real title available?)
• scientific article; zbMATH DE number 3390061 (Why is no real title available?)
• Markov Decision Drift Processes; Conditions for Optimality Obtained by Discretization
• Negative Dynamic Programming
• Probability methods for approximations in stochastic control and for elliptic equations
• Stochastic optimal control. The discrete time case

Cited in

(17)

• Impulse control of piecewise-deterministic processes
• On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
• Constrained and unconstrained optimal discounted control of piecewise deterministic Markov processes
• Impulsive control for continuous-time Markov decision processes: a linear programming approach
• Verification Theorems for Markov Decision Processes with Controlled Deterministic Drift and Gradual and Impulsive Controls
• scientific article; zbMATH DE number 744071 (Why is no real title available?)
• Factorization, basic notions and applications
• On gradual-impulse control of continuous-time Markov decision processes with exponential utility
• Optimal control of piecewise deterministic Markov processes
• Finite-horizon piecewise deterministic Markov decision processes with unbounded transition rates
• Hamilton-Jacobi-Bellman inequality for the average control of piecewise deterministic Markov processes
• Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method
• Multiconstrained finite-horizon piecewise deterministic Markov decision processes with unbounded transition rates
• On reducing a constrained gradual-impulsive control problem for a jump Markov model to a model with gradual control only
• Impulsive Control for Continuous-Time Markov Decision Processes
• Optimal control of semi-Markov processes with a backward stochastic differential equations approach
• Some ideas for comparison of Bellman chains.

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