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Decisions in Economics and Finance

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15-02-2019

Optimal markov strategies

Author: William D. Sudderth

Published in: Decisions in Economics and Finance | Issue 1/2020

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Abstract

For discrete Dubins–Savage gambling problems (Markov decision processes) with payoff equal to the limsup of the utilities of the sequence of successive states, the existence of an optimal strategy at every fortune implies the existence of an optimal Markov strategy at every fortune. If the state space is finite, the same is true when the payoff is the liminf.

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Title: Optimal markov strategies
Author: William D. Sudderth
Publication date: 15-02-2019
Publisher: Springer International Publishing
Published in: Decisions in Economics and Finance / Issue 1/2020
Print ISSN: 1593-8883
Electronic ISSN: 1129-6569
DOI: https://doi.org/10.1007/s10203-019-00235-0

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