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On optimal policies and martingales in dynamic programming

Published online by Cambridge University Press:  14 July 2016

Ulrich Rieder
Ulrich Rieder*
Affiliation:
University of Hamburg
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Abstract

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.

Keywords

DYNAMIC PROGRAMMINGGAMBLINGEXCESSIVE FUNCTIONMARTINGALEOPTIMAL POLICYTHRIFTY POLICYEQUALIZING POLICY
Type
Research Papers
Information
Journal of Applied Probability , Volume 13 , Issue 3 , September 1976 , pp. 507 - 518
Copyright
Copyright © Applied Probability Trust 1976 

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