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Some results on Markovian replacement processes
Published online by Cambridge University Press: 14 July 2016
Summary
A replacement of type (jk) in a Markov process with rewards means an instantaneous shift of the trajectory from state j into state k. A formula is obtained for the characteristic function of the total reward from the process under an arbitrary non-anticipative replacement policy. From the formula results are deduced concerning Markov policies, optimal policies and policies minimizing the variance of the reward.
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- Copyright © Applied Probability Trust 1971