Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81097
Authors: 
Staudigl, Mathias
Year of Publication: 
2013
Series/Report no.: 
Working Papers, Institute of Mathematical Economics 475
Abstract: 
In this paper we prove a deterministic approximation theorem for a sequence of Markov decision processeswith finitely many actions and general state spaces as they appear frequently in economics, game theory and operations research. Using viscosity solution methods no a-priori differentiabililty assumptions are imposed on the value function. Applications for this result can be found in large deviation theory, and some simple economic problems.
Subjects: 
Markov decision processes
optimal control
viscosity solutions
stochastic approximation
JEL: 
C02
C44
C61
Document Type: 
Working Paper

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