Abstract
In this chapter we consider MDPs with general measurable state and action space. We extend the results of Chaps. 12 and 14 to the present model. Under minimal assumptions we state the reward iteration and the structure theorem. Binary MDPs and continuous versions of examples illustrate the results. A useful generalization of MDPs are MDPs with random environment. The random environment (such as economic factors) evolves within a set of states as an uncontrolled Markov chain.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Hakansson, N. H. (1970/1971). Optimal entrepreneurial decisions in a completely stochastic environment. Management Science, 17, 427–449.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2016 Springer International Publishing AG
About this chapter
Cite this chapter
Hinderer, K., Rieder, U., Stieglitz, M. (2016). Models with Arbitrary Transition Law. In: Dynamic Optimization. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-319-48814-1_16
Download citation
DOI: https://doi.org/10.1007/978-3-319-48814-1_16
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-48813-4
Online ISBN: 978-3-319-48814-1
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)