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Short Communications

Markov decision processes with finite spaces of states and decisions

V. V. Rykov


Abstract: Homogeneous time continuous Markov decision processes with finite spaces of states and decisions and with an additive functional of losses are considered. It is proved that there is an optimal strategy for these processes and that it may be chosen to be a Markov homogeneous one.

Received: 22.04.1965

 English version: Theory of Probability and its Applications, 1966, 11:2, 302–311

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