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Teoriya Veroyatnostei i ee Primeneniya, 1977, Volume 22, Issue 1, Pages 55–71 (Mi tvp3102)  

This article is cited in 2 scientific papers (total in 2 papers)

On the theory of controlled Markov processes

A. Barbarošie

Moscow
Full-text PDF (983 kB) Citations (2)
Abstract: Let $\Xi^d=(\xi_t,\mathscr F_t,\mathbf P_x^d)_{t\in\mathscr N}$ be a family of Markov processes on $(\Omega,\mathscr F)$ with values in$(X,\mathscr X)$, $d\in D$. Any sequence
$$ \delta=\{d_0(x_0),d_1(x_0,x_1),\dots,d_k(x_0,\dots,x_k),\dots\}, $$
where $d_k:(X,\mathscr X)^{k+1}\to(D,\mathscr D)$, $\mathscr D$ is a $\sigma$-algebra in $D$, is called a control policy. For each control policy $\delta$, a controlled Markov process $\Xi^{\delta}=(\xi_t,\mathscr F_t,\mathbf P_x^{\delta})_{t\in\mathscr N}$ is constructed.
Let $\overline{\mathfrak M}$ be the set of stopping times with respect to $\{\mathscr F_t,t\in\mathscr N\bigcup\{+\infty\}\}$, $\Delta$ be the set of control policies,
\begin{gather*} \overline{\Sigma}=\overline{\mathfrak M}\times\Delta;\ \Sigma=\{[\tau,\delta]\in\overline{\Sigma}:\mathbf P_x^{\delta}\{\tau<\infty\}=1\},\\ \Sigma_n=\{[\tau,\delta]\in\Sigma:\mathbf P_x^{\delta}\{\tau\le n\}=1\}. \end{gather*}
Let $g(x)$ be a real $\overline{\mathscr X}$-measurable function, $g^-(x)\le k<\infty$, and
\begin{gather*} \overline s(x)=\sup_{[\tau,\delta]\in\overline{\Sigma}}\mathbf M_x^{\delta}g(\xi_{\tau}),\qquad g(\xi_{\infty})=\varlimsup g(\xi_n);\\ s(x)=\sup_{[\tau,\delta]\in\Sigma}\mathbf M_x^{\delta}g(\xi_{\tau}),\\ s_n(x)=\sup_{[\tau,\delta]\in\Sigma_n}\mathbf M_x^{\delta}g(\xi_{\tau}). \end{gather*}

We show that the gain functions $\xi(x)$ and $s(x)$ are equal and $s(x)$ is the least excessive majorant of $g(x)$. For each $\varepsilon>0$ and a probability measure $\mu$ on $(X,\mathscr X)$, $(\mu,\varepsilon,s)$- and $(\mu,\varepsilon,s_n)$-optimal strategies $[\tau,\delta]$ are constructed. We also show that $s_n(x)\to s(x)$ as $n\to\infty$.
Received: 26.12.1975
English version:
Theory of Probability and its Applications, 1977, Volume 22, Issue 1, Pages 53–69
DOI: https://doi.org/10.1137/1122005
Bibliographic databases:
Language: Russian
Citation: A. Barbarošie, “On the theory of controlled Markov processes”, Teor. Veroyatnost. i Primenen., 22:1 (1977), 55–71; Theory Probab. Appl., 22:1 (1977), 53–69
Citation in format AMSBIB
\Bibitem{Bar77}
\by A.~Barbaro{\v s}ie
\paper On the theory of controlled Markov processes
\jour Teor. Veroyatnost. i Primenen.
\yr 1977
\vol 22
\issue 1
\pages 55--71
\mathnet{http://mi.mathnet.ru/tvp3102}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=440688}
\zmath{https://zbmath.org/?q=an:0379.60061}
\transl
\jour Theory Probab. Appl.
\yr 1977
\vol 22
\issue 1
\pages 53--69
\crossref{https://doi.org/10.1137/1122005}
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  • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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