Markov control processes with randomized discounted cost

In this paper we consider Markov Decision Processes with discounted cost and a random rate in Borel spaces. We establish the dynamic programming algorithm in finite and infinity horizon cases. We provide conditions for the existence of measurable selectors. And we show an example of consumption-investment problem. Copyright Springer-Verlag 2007

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Year of publication:	2007
Authors:	González-Hernández, Juan ; López-Martínez, Raquiel ; Pérez-Hernández, J.
Published in:	Computational Statistics. - Springer. - Vol. 65.2007, 1, p. 27-44
Publisher:	Springer
Subject:	Markov decision processes \| Discounted cost \| Random rate \| Dynamic programming

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

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