The paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution H. Assuming that H does not depend on state-action pairs, we combine suitable methods of statistical estimation of H with control...

We consider a class of time-varying stochastic control systems, with Borel state and action spaces, and possibly unbounded costs. The processes evolve according to a discrete-time equation x <Subscript>n + 1</Subscript>=G <Subscript>n</Subscript> (x <Subscript>n</Subscript> , a <Subscript>n</Subscript> , ξ<Subscript>n</Subscript>), n=0, 1, … , where the ξ<Subscript>n</Subscript> are i.i.d. ℜ<Superscript>k</Superscript>-valued random vectors whose...</superscript></subscript></subscript></subscript></subscript></subscript></subscript>