Optimal markov strategies

William D. Sudderth ()
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William D. Sudderth: University of Minnesota

Decisions in Economics and Finance, 2020, vol. 43, issue 1, No 4, 43-54

Abstract: Abstract For discrete Dubins–Savage gambling problems (Markov decision processes) with payoff equal to the limsup of the utilities of the sequence of successive states, the existence of an optimal strategy at every fortune implies the existence of an optimal Markov strategy at every fortune. If the state space is finite, the same is true when the payoff is the liminf.

Keywords: Gambling theory; Markov decision processes; Optimal strategy; Stationary strategy; Markov strategy (search for similar items in EconPapers)
JEL-codes: C44 C73 C81 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10203-019-00235-0

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