Diffusion approximation for a controlled service system
Věra Lánská (1982)
Kybernetika
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Displaying similar documents to “A diffusion approximation in the ruin problem for a controlled Markov chain”
Diffusion approximation for a controlled service system
A generalization of Ueno's inequality for n-step transition probabilities
Andrzej Nowak (1998)
Applicationes Mathematicae
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We provide a generalization of Ueno's inequality for n-step transition probabilities of Markov chains in a general state space. Our result is relevant to the study of adaptive control problems and approximation problems in the theory of discrete-time Markov decision processes and stochastic games.
Necessary and sufficient optimality conditions for average reward of controlled Markov chains
Karel Sladký (1973)
Kybernetika
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Ergodic control of partially observed Markov processes with equivalent transition probabilities
Łukasz Stettner (1993)
Applicationes Mathematicae
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Optimal control with long run average cost functional of a partially observed Markov process is considered. Under the assumption that the transition probabilities are equivalent, the existence of the solution to the Bellman equation is shown, with the use of which optimal strategies are constructed.