UDC 519.21
DYNAMIC RISK CONTROL IN MULTIDIMENSIONAL MARKOV MODELS
Abstract. Within the framework of a mathematical model called conventionally “parallel Markov structure,” a number of practical set ups of optimal control problems are formalized. The properties of the models and of the random processes used to build them are examined. In addition, the algorithms on calculating the cost of the corresponding risk functions and on constructing optimal control strategies are developed.
Keywords: regenerating process, parallel structure, optimal stationary strategies, Markov decision processes, risk function, iterative algorithms.
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