A limit theorem for Markov decision processes

Mathias Staudigl
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Mathias Staudigl: Center for Mathematical Economics, Bielefeld University

No 475, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: In this paper we prove a deterministic approximation theorem for a sequence of Markov decision processes with finitely many actions and general state spaces as they appear frequently in economics, game theory and operations research. Using viscosity solution methods no a-priori differentiabililty assumptions are imposed on the value function. Applications for this result can be found in large deviation theory, and some simple economic problems.

Keywords: Optimal Control; Markov decision processes; StochasticApproximation; Viscosity solutions (search for similar items in EconPapers)
Pages: 26
Date: 2014-04-29
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https://pub.uni-bielefeld.de/download/2674039/2901847 First Version, 2013 (application/x-download)

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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:475

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