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

zbMath1485.90148arXiv1906.08423MaRDI QIDQ5075207

Kun Zhao, Jing Hai Shao

Publication date: 10 May 2022

Full work available at URL: https://arxiv.org/abs/1906.08423

zbMATH Keywords

Markov decision processregime-switching diffusionsrelaxed controlrandomized policyfinite-horizon criterion

Mathematics Subject Classification ID

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

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