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On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: existence and approximation

This paper studies the finite horizon Bellman equation for controlled Markov jump models with unbounded jump and cost rates. Under concrete growth conditions on the jump rates a method of time-discretization is used to: (i) prove the existence of a solution, (ii) construct a computationally attractive approximation scheme. The accuracy of this scheme is shown to be of linear order. An application to a controlled infinite server is included.
Year of publication:
1988
Authors: Dijk, Nico M. van
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 28.1988, 1, p. 141-157
Publisher: Elsevier
Keywords: Markov jump process Bellman equation jump rates time-discretization
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874404
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