Hinderer, K.; Waldmann, K.-H. - In: Computational Statistics 57 (2003) 1, pp. 1-19
This paper deals with a Markovian decision process with an absorbing set J 0 . We are interested in the largest number β *≥1, called the critical discount factor, such that for all discount factors β smaller than β * the limit V of the N-stage value function V N for N →∞ exists and is...