Blackwell Optimality for Controlled Diffusion Processes
Blackwell Optimality for Controlled Diffusion Processes
In this paper we study m-discount optimality ( m ≥ −1) and Blackwell optimality for a general class of controlled (Markov) diffusion processes. To this end, a key step is to express the expected discounted reward function as a Laurent series, and then search certain control policies that lexicographically maximize …