The existence of optimal control for continuous-time Markov decision processes in random environments

MaRDI QIDQ5075207zbMATH OpenFDO

Authors Kun Zhao, Jinghai Shao

Publication date 10 May 2022

Full work available at URL https://arxiv.org/abs/1906.08423, http://aps.ecnu.edu.cn/EN/abstract/abstract9405.shtml

zbMATH Keywords

finite-horizon criterionMarkov decision processrandomized policyregime-switching diffusionsrelaxed control

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Processes in random environments (60K37) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

Abstract: In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria. Under appropriate conditions, the value function is continuous and satisfies the dynamic programming principle. These results are established by introducing some restriction on the regularity of the optimal controls and by developing a new compactification method for continuous-time Markov decision processes, which is originally used to solve the optimal control problem for jump-diffusion processes.

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