Displaying similar documents to “Optimal stopping for Markov Processes”

Optimal stopping for Markov Processes

Massimo Lorenzani (1981)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni

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In questa nota presentiamo dei nuovi risultati sul problema di tempo d’arresto ottimale per processi di Markov con tempo discreto.

On the exchanges between Wolfgang Doeblin and Bohuslav Hostinský

Laurent Mazliak (2007)

Revue d'histoire des mathématiques

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We present the letters sent by Wolfgang Doeblin to Bohuslav Hostinský between 1936 and 1938. They concern some aspects of the general theory of Markov chains and the solutions of the Chapman-Kolmogorov equation that Doeblin was then establishing for his PhD thesis.

Estimates for perturbations of general discounted Markov control chains

Raúl Montes-de-Oca, Alexander Sakhanenko, Francisco Salem-Silva (2003)

Applicationes Mathematicae

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We extend previous results of the same authors ([11]) on the effects of perturbation in the transition probability of a Markov cost chain for discounted Markov control processes. Supposing valid, for each stationary policy, conditions of Lyapunov and Harris type, we get upper bounds for the index of perturbations, defined as the difference of the total expected discounted costs for the original Markov control process and the perturbed one. We present examples that satisfy our conditions. ...

Accurate calculations of Stationary Distributions and Mean First Passage Times in Markov Renewal Processes and Markov Chains

Jeffrey J. Hunter (2016)

Special Matrices

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This article describes an accurate procedure for computing the mean first passage times of a finite irreducible Markov chain and a Markov renewal process. The method is a refinement to the Kohlas, Zeit fur Oper Res, 30, 197–207, (1986) procedure. The technique is numerically stable in that it doesn’t involve subtractions. Algebraic expressions for the special cases of one, two, three and four states are derived.Aconsequence of the procedure is that the stationary distribution of the...

Another set of verifiable conditions for average Markov decision processes with Borel spaces

Xiaolong Zou, Xianping Guo (2015)

Kybernetika

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In this paper we give a new set of verifiable conditions for the existence of average optimal stationary policies in discrete-time Markov decision processes with Borel spaces and unbounded reward/cost functions. More precisely, we provide another set of conditions, which only consists of a Lyapunov-type condition and the common continuity-compactness conditions. These conditions are imposed on the primitive data of the model of Markov decision processes and thus easy to verify. We also...