On optimal policies and martingales in dynamic programming

DOI10.2307/3212470MaRDI QIDQ4124635zbMATH OpenOpenAlexFDO

Authors Ulrich Rieder

Publication date 1976

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3212470

Mathematics Subject Classification ID

Hamilton-Jacobi theories (49L99) Markov and semi-Markov decision processes (90C40)

Cited in

(9)

• Markov renewal decision processes with finite horizon
• Discrete-time risk-aware optimal switching with non-adapted costs
• Finitely additive dynamic programming
• Inflationary equilibrium in a stochastic economy with independent agents
• scientific article; zbMATH DE number 179178 (Why is no real title available?)
• Two characterizations of optimality in dynamic programming
• Countably additive gambling with a general expected reward
• Estimating Probability Distributions by Observing Betting Practices
• Limit-optimal strategies in countable state decision problems

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