Optimal markov strategies

For discrete Dubins–Savage gambling problems (Markov decision processes) with payoff equal to the limsup of the utilities of the sequence of successive states, the existence of an optimal strategy at every fortune implies the existence of an optimal Markov strategy at every fortune. If the state spa...

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Veröffentlicht in:	Decisions in economics and finance 2020-06, Vol.43 (1), p.43-54
1. Verfasser:	Sudderth, William D.
Format:	Artikel
Sprache:	eng
Schlagworte:	Econometrics Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Finance Gambling Management Markov analysis Markov processes Operations Research/Decision Theory Pathological gambling Public Finance Utilities
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Zusammenfassung:	For discrete Dubins–Savage gambling problems (Markov decision processes) with payoff equal to the limsup of the utilities of the sequence of successive states, the existence of an optimal strategy at every fortune implies the existence of an optimal Markov strategy at every fortune. If the state space is finite, the same is true when the payoff is the liminf.
ISSN:	1593-8883 1129-6569
DOI:	10.1007/s10203-019-00235-0