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An Equivalence between Continuous and Discrete Time Markov Decision Processes

Richard F. Serfozo
Operations Research
Vol. 27, No. 3 (May - Jun., 1979), pp. 616-620
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/170221
Page Count: 5
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An Equivalence between Continuous and Discrete Time Markov Decision Processes
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Abstract

A continuous time Markov decision process with uniformly bounded transition rates is shown to be equivalent to a simpler discrete time Markov decision process for both the discounted and average reward criteria on an infinite horizon. This result clarifies some earlier work in this area.

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