Optimal markov strategies

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 spa...

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Bibliographic Details
Published in:Decisions in economics and finance 2020-06, Vol.43 (1), p.43-54
Main Author: Sudderth, William D.
Format: Article
Language:English
Subjects:
Econometrics
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Finance
Gambling
Management
Markov analysis
Markov processes
Operations Research/Decision Theory
Pathological gambling
Public Finance
Utilities
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Summary: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.
ISSN:1593-8883
1129-6569
DOI:10.1007/s10203-019-00235-0