Description of CTMDPs and Preliminaries
In this chapter, we provide a rigorous mathematical description of continuous-time Markov decision processes (CTMDPs), the total cost model, and present several practical examples of CTMDPs. We also establish several preliminary properties of the total co
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Alexey Piunovskiy Yi Zhang
Continuous-Time Markov Decision Processes Borel Space Models and General Control Strategies
Probability Theory and Stochastic Modelling Volume 97
Editors-in-Chief Peter W. Glynn, Stanford, CA, USA Andreas E. Kyprianou, Bath, UK Yves Le Jan, Orsay, France Advisory Editors Søren Asmussen, Aarhus, Denmark Martin Hairer, Coventry, UK Peter Jagers, Gothenburg, Sweden Ioannis Karatzas, New York, NY, USA Frank P. Kelly, Cambridge, UK Bernt Øksendal, Oslo, Norway George Papanicolaou, Stanford, CA, USA Etienne Pardoux, Marseille, France Edwin Perkins, Vancouver, Canada Halil Mete Soner, Zürich, Switzerland
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Alexey Piunovskiy Yi Zhang •
Continuous-Time Markov Decision Processes Borel Space Models and General Control Strategies
Foreword by Albert Nikolaevich Shiryaev
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Alexey Piunovskiy Department of Mathematical Sciences University of Liverpool Liverpool, UK
Yi Zhang Department of Mathematical Sciences University of Liverpool Liverpool, UK
ISSN 2199-3130 ISSN 2199-3149 (electronic) Probability Theory and Stochastic Modelling ISBN 978-3-030-54986-2 ISBN 978-3-030-54987-9 (eBook) https://doi.org/10.1007/978-3-030-54987-9 Mathematics Subject Classification: 90C40, 60J76, 62L10, 90C05, 90C29, 90C39, 90C46, 93C27, 93E20 © Springer Nature Switzerland AG 2020 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustra
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