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On Optimal Policies and Martingales in Dynamic Programming
Journal of Applied Probability
Vol. 13, No. 3 (Sep., 1976), pp. 507-518
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3212470
Page Count: 12
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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.
Journal of Applied Probability © 1976 Applied Probability Trust