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期刊论文
Continuous-Time Controlled Markov Chains with Discounted Rewards
Acta Applicandae Mathematicae 79: 195-216, 2003.,-0001,():
This paper studies denumerable state continuous-time controlled Markov chains with the discounted reward criterion and a Borel action space. The reward and transition rates are unbounded, and the reward rates are allowed to take positive or negative values. First, we present new conditions for a nonhomogeneous Q (t)-process to be regular. Then, using these conditions, we give a new set of mild hypotheses that ensure the existence of-optimal (0) stationary policies. We also present a' martingale characterization' of an optimal stationary policy. Our results are illustrated with controlled birth and death processes.
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