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Average Optimality for Continuous-Time Markov Decision Processes Under Weak Continuity Conditions
Published online by Cambridge University Press: 30 January 2018
Abstract
This paper considers the average optimality for a continuous-time Markov decision process in Borel state and action spaces, and with an arbitrarily unbounded nonnegative cost rate. The existence of a deterministic stationary optimal policy is proved under the conditions that allow the following; the controlled process can be explosive, the transition rates are weakly continuous, and the multifunction defining the admissible action spaces can be neither compact-valued nor upper semicontinuous.
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- Research Article
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- © Applied Probability Trust
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