Search Results - subject:"Controlled Markov chains"

Continuous-time speed for discrete-time models : a Markov-chain approximation method

Bakota, Ivo; Kredler, Matthias - 2022 - This version: May, 2022

Persistent link: https://www.econbiz.de/10013191649

Continuous-time Markov games with asymmetric information

Gensbittel, Fabien - In: Dynamic games and applications : DGA 9 (2019) 3, pp. 671-699

Persistent link: https://www.econbiz.de/10012226032

Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems

Cañada, Héctor; Romera, Rosario - In: European Journal of Operational Research 221 (2012) 3, pp. 614-624

In this paper the intrinsic complex nature of engineering systems under control is treated by introducing an approach based on Controlled Stochastic Differential Equations with Markovian Switchings (in short CSDEMS). Technical conditions for the existence and uniqueness of the solutions of the...

Persistent link: https://www.econbiz.de/10011052523

Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains

Prieto-Rumeau, Tomás; Hernández-Lerma, Onésimo - In: Mathematical Methods of Operations Research 70 (2009) 3, pp. 527-540

This paper deals with denumerable-state continuous-time controlled Markov chains with possibly unbounded transition and …

Persistent link: https://www.econbiz.de/10010999914

Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains

Prieto-Rumeau, Tomás; Hernández-Lerma, Onésimo - In: Computational Statistics 70 (2009) 3, pp. 527-540

This paper deals with denumerable-state continuous-time controlled Markov chains with possibly unbounded transition and …

Persistent link: https://www.econbiz.de/10010759505

The Laurent series, sensitive discount and Blackwell optimality for continuous-time controlled Markov chains

Prieto-Rumeau, Tomás; Hernández-Lerma, Onésimo - In: Computational Statistics 61 (2005) 1, pp. 123-145

-time controlled Markov chains with possibly unbounded reward (or cost) rates and unbounded transition rates. That series is then used …

Persistent link: https://www.econbiz.de/10010847972

The Laurent series, sensitive discount and Blackwell optimality for continuous-time controlled Markov chains

Prieto-Rumeau, Tomás; Hernández-Lerma, Onésimo - In: Mathematical Methods of Operations Research 61 (2005) 1, pp. 123-145

-time controlled Markov chains with possibly unbounded reward (or cost) rates and unbounded transition rates. That series is then used …

Persistent link: https://www.econbiz.de/10010999972

Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions

Cavazos-Cadena, Rolando; Fernández-Gaucherand, Emmanuel - In: Computational Statistics 49 (1999) 2, pp. 299-324

We study controlled Markov chains with denumerable state space and bounded costs per stage. A (long-run) risk …

Persistent link: https://www.econbiz.de/10010759565

Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions

Cavazos-Cadena, Rolando; Fernández-Gaucherand, Emmanuel - In: Mathematical Methods of Operations Research 49 (1999) 2, pp. 299-324

We study controlled Markov chains with denumerable state space and bounded costs per stage. A (long-run) risk …

Persistent link: https://www.econbiz.de/10010999980