Controlled Markov Chains
Kesten, Harry ; Spitzer, Frank
Ann. Probab., Tome 3 (1975) no. 6, p. 32-40 / Harvested from Project Euclid
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We propose a control problem in which we minimize the expected hitting time of a fixed state in an arbitrary Markov chains with countable state space. A Markovian optimal strategy exists in all cases, and the value of this strategy is the unique solution of a nonlinear equation involving the transition function of the Markov chain.
Publié le : 1975-02-14
Classification:  Markov chains,  negative dynamic programming,  hitting times,  60J05,  60J20,  93E99 
@article{1176996445,
     author = {Kesten, Harry and Spitzer, Frank},
     title = {Controlled Markov Chains},
     journal = {Ann. Probab.},
     volume = {3},
     number = {6},
     year = {1975},
     pages = { 32-40},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996445}
}

Kesten, Harry; Spitzer, Frank. Controlled Markov Chains. Ann. Probab., Tome 3 (1975) no. 6, pp.  32-40. http://gdmltest.u-ga.fr/item/1176996445/