Blackwell Optimality for Controlled Diffusion Processes
2009 ◽
Vol 46
(2)
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pp. 372-391
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Keyword(s):
In this paper we study m-discount optimality (m ≥ −1) and Blackwell optimality for a general class of controlled (Markov) diffusion processes. To this end, a key step is to express the expected discounted reward function as a Laurent series, and then search certain control policies that lexicographically maximize the mth coefficient of this series for m = −1,0,1,…. This approach naturally leads to m-discount optimality and it gives Blackwell optimality in the limit as m → ∞.
2009 ◽
Vol 46
(02)
◽
pp. 372-391
◽
2007 ◽
Vol 35
(1)
◽
pp. 206-227
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Keyword(s):
2012 ◽
Vol 221
(3)
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pp. 614-624
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