Technical Note—An Equivalence Between Continuous and Discrete Time Markov Decision Processes

Richard F. Serfozo
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Richard F. Serfozo: Bell Laboratories, Holmdel, New Jersey

Operations Research, 1979, vol. 27, issue 3, 616-620

Abstract: A continuous time Markov decision process with uniformly bounded transition rates is shown to be equivalent to a simpler discrete time Markov decision process for both the discounted and average reward criteria on an infinite horizon. This result clarifies some earlier work in this area.

Date: 1979
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