A limit theorem for Markov decision processes

DOI10.3934/jdg.2014.1.639zbMath1344.60026OpenAlexW3122437729MaRDI QIDQ258747

Mathias Staudigl

Publication date: 10 March 2016

Published in: Journal of Dynamics and Games (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jdg.2014.1.639

zbMATH Keywords

optimal controlweak convergenceMarkov decision processesviscosity solutions

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov and semi-Markov decision processes (90C40) Functional limit theorems; invariance principles (60F17) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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