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On optimal policies and martingales in dynamic programming

Published online by Cambridge University Press:  14 July 2016

Ulrich Rieder*
Affiliation:
University of Hamburg

Abstract

A martingale approach to a dynamic program with general state and action spaces is taken. Several necessary and sufficient conditions are given for a policy to be optimal. The results comprehend and modify different criteria of optimality given for dynamic programming problems. Finally, two applications are stated.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1976 

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