Markov control processes with randomized discounted cost

被引：0
作者：
Juan González-Hernández
Raquiel R. López-Martínez
J. Rubén Pérez-Hernández
机构：
[1] IIMAS-UNAM,Departamento de Probabilidad y Estadística
[2] Facultad de Matemáticas UV,Departamento de Ciencias Básicas
[3] UPIITA-IPN,undefined
来源：
Mathematical Methods of Operations Research | 2007年 / 65卷
关键词：
Markov decision processes; Discounted cost; Random rate; Dynamic programming; 90C40; 93E20;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we consider Markov Decision Processes with discounted cost and a random rate in Borel spaces. We establish the dynamic programming algorithm in finite and infinity horizon cases. We provide conditions for the existence of measurable selectors. And we show an example of consumption-investment problem.
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页码：27 / 44
页数：17
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