The paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution H. Assuming that H does not depend on state-action pairs, we combine suitable methods of statistical estimation of H with control...

The paper deals with a class of semi-Markov control models with Borel state and control spaces, possibly unbounded costs, and unknown holding times distribution H. Assuming that H does not depend on state-action pairs, we combine suitable methods of statistical estimation of H with control...

The paper deals with a class of discrete-time Markov control processes with Borel state and action spaces, and possibly unbounded one-stage costs. The processes are given by recurrent equations x t +1 =F(x t ,a t ,ξ t ), t=1,2,… with i.i.d. ℜ k – valued random vectors ξ t whose density...