摘要:

We study Markov jump decision processes with both continuously and instantaneouslyacting decisions and with deterministic drift between jumps. Such decision processes were recentlyintroduced and studied from discrete time approximations point of view by Van der Duyn Schouten.Weobtain necessary and sufficient optimality conditions for these decision processes in terms of equations and inequalities of quasi-variational type. By means of the latter we find simple necessaryand sufficient conditions for the existence of stationary optimal policies in such processes with finite state and action spaces, both in the discounted and average per unit time reward cases.

ISSN:0090-9491    

DOI:10.1080/17442508308833256

出版商:Gordon and Breach Science Publishers Inc,    

年代:1983

数据来源: Taylor

摘要:

Let (ξt) be the solution of the S.D.E. (E) of Section 1. Doss [3] has shown the existence of a difFerentiable function h and of a differentiate process parametrized by the processW,γ(W,t), such that: ξt= h(γ(W, t), Wt). For all continuous functions u, Xtis defined by: Xt= h(γ(u, t) ut). We develop a scheme of approximation of Xt(Theorems 2-6 and 3-4). This scheme has th following properties:?

ISSN:0090-9491    

DOI:10.1080/17442508308833257

出版商:Gordon and Breach Science Publishers Inc,    

年代:1983

数据来源: Taylor

摘要:

A game is considered in which at timesn=0,1,Players I and II choose non-negative random variablesUn, Vnrespectively, and I pays to II the amount (VnXn)/Unwhere X = {Xn, n≧0} is a given sequence of non-negative random variables. The random variables Un, Vn, Xnare adapted to a given filtration and are restricted so thatfor given β>0 and γ≧1. The solution of this gameleads to the investigation of a certain recursive stochastic equation and to an approximation scheme for the Snell envelope of the processX.

ISSN:0090-9491    

DOI:10.1080/17442508308833258

出版商:Gordon and Breach Science Publishers Inc,    

年代:1983

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508308833255

出版商:Gordon and Breach Science Publishers S. A.    

年代:1983

数据来源: Taylor