On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation

DOI10.1016/0304-4149(88)90071-3zbMath0645.93072OpenAlexW1978905583MaRDI QIDQ1103586

Nico M. van Dijk

Publication date: 1988

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(88)90071-3

zbMATH Keywords

approximation schemetime discretizationcontrolled Markov jump modelsfinite horizon Bellman equationunbounded jump and cost rates

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Theoretical approximation in context of PDEs (35A35) Existence of optimal solutions to problems involving randomness (49J55)

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Cites Work

• Controlled jump processes
• Discretization and Weak Convergence in Markov Decision Drift Processes
• Continuous-time markov decision processes with nonzero terminal reward
• Controlled Jump Markov Models
• Optimal Control of Jump Processes
• Relation between continuous and discrete time markovian decision problems
• Finite State Continuous Time Markov Decision Processes with a Finite Planning Horizon
• Necessary and Sufficient Conditions for Optimal Control of Semi-Markov Jump Processes
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