Arbeitspapier
A limit theorem for Markov decision processes
In this paper we prove a deterministic approximation theorem for a sequence of Markov decision processeswith 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 475
- Klassifikation
-
Wirtschaft
Mathematical Methods
Operations Research; Statistical Decision Theory
Optimization Techniques; Programming Models; Dynamic Analysis
- Thema
-
Markov decision processes
optimal control
viscosity solutions
stochastic approximation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Staudigl, Mathias
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Institute of Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2013
- Handle
- URN
-
urn:nbn:de:0070-pub-26740390
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Staudigl, Mathias
- Bielefeld University, Institute of Mathematical Economics (IMW)
Entstanden
- 2013
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