Killed Markov Decision Processes for Countable Models for Crash Function Assessment

• Autorzy: Robert Kowal
• Języki publikacji: EN

Abstrakty

EN

In this article the killed Markov decision processes for countable models on finite time interval are considered. The existence of a uniform ε-optimal policy is proved. The correctness of the fundamental equation is shown. The optimal control problem is reduced to a similar problem for derived model. Also, the optimality equation and method for simple optimal policies constructing is received. A sufficient condition of simple policies for countable models is proved. The correctness of the Markovian property is shown. Additionally dynamic programming principle is considered. (original abstract)

Słowa kluczowe

EN

Risk; Bankruptcy; Decision proces

PL

Ryzyko; Bankructwo; Proces decyzyjny

• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2009
• Tom: 8
• Numer: nr 1
• Strony: 99--112

Twórcy

autor

Robert Kowal

• University of Humanities and Natural Sciences

Bibliografia

• Dynkin, E. B., Yushkevich, A. A. (1975). Markov Decision Processes, Moskwa.
• Feinberg, E. A., Shwartz, A. (2002). Introduction. In E.A Feinberg, A. Shwartz (Eds.), Handbook of Markov Decision Processes, 1-17, Kluwer.
• Pakes, A. G. (1997). Killing and Resurrection of Markov Processes. Communications in Statistics. Stochastic Models, 13(2), 255-269.
• Bellman, R. (1977). Programowanie dynamiczne, Warszawa: Wydawnictwo Naukowe PWN.

Identyfikatory

DOI

10.2478/v10031-009-0003-9