摘要
Optimal Models for first arrival time (rH) and first arrival target total return (WH) distribution functions on MDP in continuous time are presented. Asymptotic expansions of rH and WH are derived and expressed in simple, explicit forms, and some of their properties are discussed. Two methods to find an optimal policy for distribution function of rH are given. Several necessary and sufficient conditions for the existence of the optimal policy are obtained. This result leads to that the scope of finding the optimal policy is greatly reduced. A special case is also discussed and some deep results are given.
Optimal Models for first arrival time (rH) and first arrival target total return (WH) distribution functions on MDP in continuous time are presented. Asymptotic expansions of rH and WH are derived and expressed in simple, explicit forms, and some of their properties are discussed. Two methods to find an optimal policy for distribution function of rH are given. Several necessary and sufficient conditions for the existence of the optimal policy are obtained. This result leads to that the scope of finding the optimal policy is greatly reduced. A special case is also discussed and some deep results are given.
