Markov control of continuous time Markov processes with long run functionals by time discretization
Optimization and Control
2025-08-12 v2 Probability
Abstract
In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate stability of continuous time functionals with respect to pointwise convergence of Markov controls.
Cite
@article{arxiv.2505.06916,
title = {Markov control of continuous time Markov processes with long run functionals by time discretization},
author = {Lukasz Stettner},
journal= {arXiv preprint arXiv:2505.06916},
year = {2025}
}