A limit theorem for Markov decision processes

In this paper we prove a deterministic approximation theorem for a sequence of Markov decision processeswith finitely many actions and general state spaces as they appear frequently in economics, game theory and operations research. Using viscosity solution methods no a-priori differentiabililty assumptions are imposed on the value function. Applications for this result can be found in large deviation theory, and some simple economic problems.

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Year of publication:	2013
Authors:	Staudigl, Mathias
Publisher:	Bielefeld : Bielefeld University, Institute of Mathematical Economics (IMW)
Subject:	Markov decision processes \| optimal control \| viscosity solutions \| stochastic approximation

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Series:	Working Papers ; 475
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	737901799 [GVK] hdl:10419/81097 [Handle]
Classification:	C02 - Mathematical Methods ; C44 - Statistical Decision Theory; Operations Research ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	EconStor

Persistent link: https://www.econbiz.de/10010319973