A limit theorem for Markov decision processes

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

Download
OA 234.72 KB
Diskussionspapier | Veröffentlicht | Englisch
Abstract / Bemerkung
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.
Erscheinungsjahr
Band
475
Seite
26
ISSN
PUB-ID

Zitieren

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.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
This Item is protected by copyright and/or related rights. [...]
Volltext(e)
Access Level
OA Open Access
Zuletzt Hochgeladen
2016-03-22T14:20:56Z

Externes Material:
Neue Ausgabe
Beschreibung
Working Paper als Zeitschriftenartikel erschienen in "Journal of Dynamics and Games", 2014

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar