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Finite-stage reward functions having the Markov adequacy property

Author

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  • Pestien, Victor
  • Wang, Xiaobo

Abstract

If X is a countable state space and g is a bounded reward function on Xn, then say g has the Markov-adequacy property if every strategy has a corresponding randomized Markov strategy which gives g the same integral as the original strategy. A complete characterization of functions having the Markov-adequacy property is given. In particular, if g is permutation-invariant and X has at least three elements, then g has the Markov-adequacy property if and only if g has the linear sections property, a condition which is easy to verify.

Suggested Citation

  • Pestien, Victor & Wang, Xiaobo, 1993. "Finite-stage reward functions having the Markov adequacy property," Stochastic Processes and their Applications, Elsevier, vol. 46(1), pages 129-151, May.
    • Handle: RePEc:eee:spapps:v:46:y:1993:i:1:p:129-151
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    Cited by:

    1. Pestien, Victor & Wang, Xiaobo, 1998. "Markov-achievable payoffs for finite-horizon decision models," Stochastic Processes and their Applications, Elsevier, vol. 73(1), pages 101-118, January.

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