Finite-horizon optimality for continuous-time Markov decision processes with unbounded transition rates

DOI10.1239/aap/1449859800zbMath1330.90125OpenAlexW2197823857MaRDI QIDQ2786427

Xianping Guo, Xiangxiang Huang, Yong-hui Huang

Publication date: 12 February 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1449859800

zbMATH Keywords

optimal Markov policycontinuous-time Markov decision processunbounded transition ratefinite-horizon criterionrandomized history-dependent policy

Mathematics Subject Classification ID

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

Related Items (15)

Finite horizon continuous-time Markov decision processes with mean and variance criteria ⋮ Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion ⋮ Zero-sum continuous-time Markov pure jump game over a fixed duration ⋮ Constrained continuous-time Markov decision processes on the finite horizon ⋮ Finite-horizon piecewise deterministic Markov decision processes with unbounded transition rates ⋮ Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces ⋮ The risk probability criterion for discounted continuous-time Markov decision processes ⋮ Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion ⋮ Stochastic games for continuous-time jump processes under finite-horizon payoff criterion ⋮ Finite approximation for finite-horizon continuous-time Markov decision processes ⋮ Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates ⋮ First passage risk probability optimality for continuous time Markov decision processes ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Continuous-time zero-sum games for Markov chains with risk-sensitive finite-horizon cost criterion

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