This article is cited in 18 papers

Controlled jump Markov models

A. A. Yuškevič

Moscow

Abstract: We expand the Blackwell–Strauch dynamic programming theory ([1], [2]) to jump processes with Borel state and action spaces. The main topics are the Bellman equation and the existence of Markovian $\varepsilon$-optimal policies. We use the techniques of analytic sets, semianalytic functions and non-Borelian policies similiar to that of [15].

Received: 16.02.1978

 English version: Theory of Probability and its Applications, 1981, 25:2, 244–266

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