Lipschitz continuous control models

Tuesday, May 8, 2018 - 3:00pm - 3:50pm
Francois Dufour (Université de Bordeaux I)
We study a numerical approximation of the optimal long-run average cost of a continuous-time Markov decision process, with Borel state and action spaces, and with bounded transition and reward rates. Our approach uses a suitable discretization of the state and action spaces to approximate the original control model.
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