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A limit theorem for Markov decision processes

Author

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  • Staudigl, Mathias

    (Center for Mathematical Economics, Bielefeld University)

Abstract

In this paper we prove a deterministic approximation theorem for a sequence of Markov decision processes with 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.

Suggested Citation

  • Staudigl, Mathias, 2014. "A limit theorem for Markov decision processes," Center for Mathematical Economics Working Papers 475, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:475
    as

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    File URL: https://pub.uni-bielefeld.de/download/2674039/2901847
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    References listed on IDEAS

    as
    1. Yuliy Sannikov & Andrzej Skrzypacz, 2010. "The Role of Information in Repeated Games With Frequent Actions," Econometrica, Econometric Society, vol. 78(3), pages 847-882, May.
    2. Johannes Hörner & Takuo Sugaya & Satoru Takahashi & Nicolas Vieille, 2011. "Recursive Methods in Discounted Stochastic Games: An Algorithm for δ→ 1 and a Folk Theorem," Econometrica, Econometric Society, vol. 79(4), pages 1277-1318, July.
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