A limit theorem for Markov decision processes

Staudigl M (2013) Center for Mathematical Economics Working Papers; 475.
Bielefeld: Center for Mathematical Economics.

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Working Paper | Published | English
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.
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Staudigl M. A limit theorem for Markov decision processes. Center for Mathematical Economics Working Papers. Vol 475. Bielefeld: Center for Mathematical Economics; 2013.
Staudigl, M. (2013). A limit theorem for Markov decision processes (Center for Mathematical Economics Working Papers, 475). Bielefeld: Center for Mathematical Economics.
Staudigl, M. (2013). A limit theorem for Markov decision processes. Center for Mathematical Economics Working Papers, 475, Bielefeld: Center for Mathematical Economics.
Staudigl, M., 2013. A limit theorem for Markov decision processes, Center for Mathematical Economics Working Papers, no.475, Bielefeld: Center for Mathematical Economics.
M. Staudigl, A limit theorem for Markov decision processes, Center for Mathematical Economics Working Papers, vol. 475, Bielefeld: Center for Mathematical Economics, 2013.
Staudigl, M.: A limit theorem for Markov decision processes. Center for Mathematical Economics Working Papers, 475. Center for Mathematical Economics, Bielefeld (2013).
Staudigl, Mathias. A limit theorem for Markov decision processes. Bielefeld: Center for Mathematical Economics, 2013. Center for Mathematical Economics Working Papers. 475.
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