Killed Markov Decision Processes for Countable Models for Crash Function Assessment

• Authors: Robert Kowal
• Languages of publication: EN

Abstracts

EN

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

EN

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

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2009
• Volume: 8
• Issue: 1
• Pages: 99-112

Dates

published

2009-01-01

online

2011-03-21

Contributors

author

Robert Kowal

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

References

• Dynkin, E. B., Yushkevich, A. A. (1975). Markov Decision Processes, Moskwa.
• Feinberg, E. A., Shwartz, A. (2002). Introduction. In E.A Feinberg, A. Shwartz (Eds.), Handbook of Markov Decision Processes, 1-17, Kluwer.
• Pakes, A. G. (1997). Killing and Resurrection of Markov Processes. Communications in Statistics. Stochastic Models, 13(2), 255-269.
• Bellman, R. (1977). Programowanie dynamiczne, Warszawa: Wydawnictwo Naukowe PWN.

Identifiers

DOI

10.2478/v10031-009-0003-9