Controlled Jump Markov Models

DOI10.1137/1125034MaRDI QIDQ3908790zbMATH OpenOpenAlexFDO

Authors Alexander A. Yushkevich

Publication date 1980

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1125034

zbMATH Keywords

Borel action spaceBorel state spacecontrolled jump Markov models

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Continuous-time Markov processes on general state spaces (60J25) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

Cited in

(8)

• On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation
• Continuous-time stochastic games of fixed duration
• Continuous time markov decision processes with nonuniformly bounded transition rate: expected total rewards
• Optimal control of continuous-time Markov chains with noise-free observation
• Realizable strategies in continuous-time Markov decision processes
• Kolmogorov's equations for jump Markov processes and their applications to control problems
• Sufficiency of Markov policies for continuous-time jump Markov decision processes
• Strong average optimality criterion for continuous-time Markov decision processes

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