A connection between controlled Markov chains and martingales
Kybernetika (1973)
- Volume: 09, Issue: 4, page (237)-241
- ISSN: 0023-5954
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topMandl, Petr. "A connection between controlled Markov chains and martingales." Kybernetika 09.4 (1973): (237)-241. <http://eudml.org/doc/28546>.
@article{Mandl1973,
author = {Mandl, Petr},
journal = {Kybernetika},
language = {eng},
number = {4},
pages = {(237)-241},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A connection between controlled Markov chains and martingales},
url = {http://eudml.org/doc/28546},
volume = {09},
year = {1973},
}
TY - JOUR
AU - Mandl, Petr
TI - A connection between controlled Markov chains and martingales
JO - Kybernetika
PY - 1973
PB - Institute of Information Theory and Automation AS CR
VL - 09
IS - 4
SP - (237)
EP - 241
LA - eng
UR - http://eudml.org/doc/28546
ER -
References
top- R. Bellman, A Markovian decision process, J. of Math. and Mech. 6 (1957), 679-684. (1957) Zbl0078.34101MR0091859
- P. Billingsley, The Lindeberg-Lévy theorem for martingales, Proc. Amer. Math. Soc. 12 (1961), 788-792. (1961) Zbl0129.10701MR0126871
- B. M. Brown G. K. Eagleson, Martingale convergence to infinitely divisible laws with finite variances, Trans. Amer. Math. Soc. 162 (1971), 449-453. (1971) MR0288806
- M. Loéve, Probability theory, Princeton 1960. (1960) MR0123342
- P. Mandl, On the variance in controlled Markov chains, Kybernetika 7 (1971), 1-12. (1971) Zbl0215.25902MR0286178
- P. Mandl, On the asymptotic normality of the reward in a controlled Markov chain, (To appear in Trans. of European Meeting of Statisticians held in Budapest, 1972.) (1972) MR0381808
Citations in EuDML Documents
top- Daniela Kuklíková, Approximation of bivariate Markov chains by one-dimensional diffusion processes
- Pham Kieu, A diffusion approximation in the ruin problem for a controlled Markov chain
- Onésimo Hernández-Lerma, Myriam Muñoz de Ozak, Discrete-time Markov control processes with discounted unbounded costs: Optimality criteria
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