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Markov control processes with randomized discounted cost

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  • Juan González-Hernández
  • Raquiel López-Martínez
  • J. Pérez-Hernández

Abstract

In this paper we consider Markov Decision Processes with discounted cost and a random rate in Borel spaces. We establish the dynamic programming algorithm in finite and infinity horizon cases. We provide conditions for the existence of measurable selectors. And we show an example of consumption-investment problem. Copyright Springer-Verlag 2007

Suggested Citation

  • Juan González-Hernández & Raquiel López-Martínez & J. Pérez-Hernández, 2007. "Markov control processes with randomized discounted cost," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 65(1), pages 27-44, February.
    • Handle: RePEc:spr:mathme:v:65:y:2007:i:1:p:27-44
    DOI: 10.1007/s00186-006-0092-2
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    References listed on IDEAS

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