On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: existence and approximation

Nico M. van Dijk

Stochastic Processes and their Applications, 1988, vol. 28, issue 1, 141-157

Abstract: This paper studies the finite horizon Bellman equation for controlled Markov jump models with unbounded jump and cost rates. Under concrete growth conditions on the jump rates a method of time-discretization is used to: (i) prove the existence of a solution, (ii) construct a computationally attractive approximation scheme. The accuracy of this scheme is shown to be of linear order. An application to a controlled infinite server is included.

Keywords: Markov; jump; process; Bellman; equation; jump; rates; time-discretization (search for similar items in EconPapers)
Date: 1988
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(88)90071-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:28:y:1988:i:1:p:141-157

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().