Continuous-Time Controlled Markov Chains with Discounted Rewards |
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Authors: | Xianping Guo Onésimo Hernández-Lerma |
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Affiliation: | (1) The School of Mathematics and Computational Science, Zhongshan University, Guangzhou, 510275, P.R. China;(2) Departamento de Matemáticas, CINVESTAV-IPN, A. Postal 14-740 México D.F. 07000, México |
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Abstract: | This paper studies denumerable state continuous-time controlled Markov chains with the discounted reward criterion and a Borel action space. The reward and transition rates are unbounded, and the reward rates are allowed to take positive or negative values. First, we present new conditions for a nonhomogeneous Q(t)-process to be regular. Then, using these conditions, we give a new set of mild hypotheses that ensure the existence of -optimal (0) stationary policies. We also present a martingale characterization of an optimal stationary policy. Our results are illustrated with controlled birth and death processes. |
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Keywords: | continuous-time controlled Markov chains unbounded reward and transition rates discounted criterion optimal stationary policies martingale characterization |
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