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Original Articles

A note on constructing e-optimal policies for controlled markov jump models with unbounded characteristics

Pages 51-58 | Received 27 Jun 1988, Published online: 04 Apr 2007

References

  • Boel , R. and Varaiya , P. 1977 . Optimal control of jump processes . SI AM J. Control and Optimization , 15 : 92 – 119 .
  • van Dijk , N. M. 1983 . “ CWI Tract 11 ” . In Controlled Markov processes: Time-discretization , Amsterdam .
  • van Dijk , N. M. 1988 . On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation . Stochastic Processes Appl , 28 : 141 – 157 .
  • Gihman , I. I. and Skohorod , A. V. 1979 . Controlled stochastic processes , Berlin : Springer Verlag .
  • Pliska , S. R. 1975 . Controlled jump processes . Stochastic Processes Appl , 3 : 259 – 282 .
  • Yushkevich , A. A. 1980 . Controlled jump Markov models . Theor. Probability Appl , 25 : 244 – 266 .

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