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Technical Note—An Equivalence Between Continuous and Discrete Time Markov Decision Processes

Richard F. Serfozo

Bell Laboratories, Holmdel, New Jersey

Operations Research 1979

A continuous time Markov decision process with uniformly bounded transition rates is shown to be equivalent to a simpler discrete time Markov decision process for both the discounted and average reward criteria on an infinite horizon. This result clarifies some earlier work in this area.

DOI
10.1287/opre.27.3.616
Volume
27 (3)
Pages
616-620
Language
en
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