A further remark on dynamic programming for partially observed Markov processes

In (Stochastic Process. Appl. 103 (2003) 293), a pair of dynamic programming inequalities were derived for the 'separated' ergodic control problem for partially observed Markov processes, using the 'vanishing discount' argument. In this note, we strengthen these results to derive a single dynamic programming equation for the same.

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Year of publication:	2004
Authors:	Borkar, V.S. Vivek S. ; Budhiraja, Amarjit
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 112.2004, 1, p. 79-93
Publisher:	Elsevier
Keywords:	Controlled Markov processes Dynamic programming Partial observations Ergodic cost Vanishing discount Pseudo-atom

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873946