The Laurent series, sensitive discount and Blackwell optimality for continuous-time controlled Markov chains

Tomás Prieto-Rumeau () and Onésimo Hernández-Lerma ()

Mathematical Methods of Operations Research, 2005, vol. 61, issue 1, 123-145

Abstract: This paper gives conditions for the convergence of the Laurent series expansion for a class of continuous-time controlled Markov chains with possibly unbounded reward (or cost) rates and unbounded transition rates. That series is then used to study several optimization criteria, including n-discount optimality (for n=−1,0,1,...), Blackwell optimality, and the maximization of a certain vector criterion that in particular gives gain and bias optimality. Copyright Springer-Verlag 2005

Keywords: Continuous-time controlled Markov chains (also known as Markov decision processes); Laurent series; Sensitive discount criteria; Blackwell optimality; Average reward criteria; 93E20; 90C40; 60J27 (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s001860400393

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