Weakly additive functionals and time change of strong Markov processes

1998 ◽  
pp. 27-32
Author(s):  
Sigurd Assing ◽  
Wolfgang M. Schmidt
Keyword(s):  
Markov Processes ◽  
Time Change ◽  
Additive Functionals ◽  
Strong Markov

Continuous Strong Markov Processes in Dimension One

1998 ◽  
Author(s):  
Sigurd Assing ◽  
Wolfgang M. Schmidt
Keyword(s):  
Markov Processes ◽  
Dimension One ◽  
Strong Markov

Continuous-time allocation indices and their discrete-time approximation

1986 ◽  
Vol 18 (03) ◽  
pp. 724-746
Author(s):  
W. J. R. Eplett
Keyword(s):  
Markov Processes ◽  
Discrete Time ◽  
Time Allocation ◽  
Optimal Policy ◽  
Continuous Time ◽  
Bandit Problems ◽  
Time Approximation ◽  
Discrete Time Approximation ◽  
Strong Markov

The theory of allocation indices for defining the optimal policy in multi-armed bandit problems developed by Gittins is presented in the continuous-time case where the projects (or ‘arms’) are strong Markov processes. Complications peculiar to the continuous-time case are discussed. This motivates investigation of whether approximation of the continuous-time problems by discrete-time versions provides a valid technique with convergent allocation indices and optimal expected rewards. Conditions are presented under which the convergence holds.

Some zero-one laws for additive functionals of Markov processes

1994 ◽  
Vol 100 (4) ◽  
pp. 407-416 ◽  
Author(s):  
Rainer H�hnle ◽  
Karl-Theodor Sturm
Keyword(s):  
Markov Processes ◽  
Additive Functionals

scholarly journals On exponentials of additive functionals of Markov processes

2000 ◽  
Vol 85 (1) ◽  
pp. 45-60 ◽  
Author(s):  
W. Stummer ◽  
K.-Th. Sturm
Keyword(s):  
Markov Processes ◽  
Additive Functionals
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