| Abstract: | This paper presents a new concept of Markov decision processes: continuous time shock Markov decision processes, which model Markovian controlled systems sequentially shocked by its environment. Between two adjacent shocks, the system can be modeled by continuous time Markov decision processes. But according to each shock, the system's parameters are changed and an instantaneous state transition occurs. After presenting the model, we prove that the optimality equation, which consists of countable equations, has a unique solution in some function space Ω |
