Markov control processes with randomized discounted cost

Juan González-Hernández (), Raquiel López-Martínez () and J. Pérez-Hernández ()

Mathematical Methods of Operations Research, 2007, vol. 65, issue 1, 27-44

Abstract: In this paper we consider Markov Decision Processes with discounted cost and a random rate in Borel spaces. We establish the dynamic programming algorithm in finite and infinity horizon cases. We provide conditions for the existence of measurable selectors. And we show an example of consumption-investment problem. Copyright Springer-Verlag 2007

Keywords: 90C40; 93E20; Markov decision processes; Discounted cost; Random rate; Dynamic programming (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s00186-006-0092-2

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