Zhu, Quanxin - In: Computational Statistics 66 (2007) 2, pp. 299-313
In this paper, we study the average optimality for continuous-time controlled jump Markov processes in general state … optimality inequality by using the well-known “vanishing discounting factor approach”. Then, when the cost (or reward) rates are … nonnegative (or nonpositive), from the average optimality inequality we prove the existence of an average optimal stationary …