Killed Markov Decision Processes for Countable Models for Crash Function Assessment

Kowal Robert
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Kowal Robert: Faculty of Management and Administration, University of Humanities and Natural Sciences, Świętokrzyska 21, 25-406 Kielce

Folia Oeconomica Stetinensia, 2009, vol. 8, issue 1, 99-112

Abstract: In this article the killed Markov decision processes for countable models on finite time interval are considered. The existence of a uniform ε-optimal policy is proved. The correctness of the fundamental equation is shown. The optimal control problem is reduced to a similar problem for derived model. Also, the optimality equation and method for simple optimal policies constructing is received. A sufficient condition of simple policies for countable models is proved. The correctness of the Markovian property is shown. Additionally dynamic programming principle is considered.

Keywords: economic system; Markov chains; Markov decision processes; killed Markov decision processes; risk factor; bankruptcy; countable model; derived model; assessment of policy; assessment of process; e-optimal policy; dynamic programming; economic system; Markov chains; Markov decision processes; killed Markov decision processes; risk factor; bankruptcy; countable model; derived model; assessment of policy; assessment of process; e-optimal policy; dynamic programming (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:8:y:2009:i:1:p:99-112:n:1

DOI: 10.2478/v10031-009-0003-9

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