Optimal control of stationary Markov processes

R. Morton

Stochastic Processes and their Applications, 1973, vol. 1, issue 3, 237-249

Abstract: Sufficient conditions are given for the optimal control of Markov processes when the control policy is stationary and the process possesses a stationary distribution. The costs are unbounded and additive, and may or may not be discounted. Applications to Semi-Markov processes are included, and the results for random walks are related to the author's previous papers on diffusion processes.

Date: 1973
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