Discounted continuous-time Markov decision processes with unbounded rates and randomized history-dependent policies: The dynamic programming approach

Alexey Piunovskiy, Yi Zhang

Research output: Contribution to journalArticlepeer-review

9 Citations (Scopus)

Abstract


Original languageEnglish
Pages (from-to)49-75
Journal4OR
Volume12
Issue number1
DOIs
Publication statusPublished - Mar 2014

Keywords

  • Bellman equation
  • Continuous-time Markov decision process
  • Dynamic programming
  • Dynkin's formula

ASJC Scopus subject areas

  • Management Information Systems
  • Theoretical Computer Science
  • Management Science and Operations Research
  • Computational Theory and Mathematics

Fingerprint

Dive into the research topics of 'Discounted continuous-time Markov decision processes with unbounded rates and randomized history-dependent policies: The dynamic programming approach'. Together they form a unique fingerprint.

Cite this