## A utility criterion for the Markov decision process |

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### Contents

INTRODUCTION AND SUMMARY OF RESULTS | 1 |

THE FINITE HORIZON CONSUMPTION MODEL | 11 |

THE FINITE HORIZON MARKOV PROCESS | 26 |

6 other sections not shown

### Common terms and phrases

action and consumption action decision rule argmax U(C assume Banker-Broker criterion Banker-Broker procedure calculated Chapter compute consumption decision rules consumption model consumption of commodities continuous and monotone defined Definition delayed resolution demonstrate discount factor Dreze dynamic lottery dynamic programming recursion example expected utility expected value exponential utility function feasible domain Finite Horizon Markov function for consumption function for wealth Infinite Horizon Consumption isotone lifetime consumption m c m+1 m i m-1 m-1 m n Markov decision process MARKOV PROCESS maximization monotone increasing notation optimal action decision optimal consumption decision optimal stationary policies orthant periods remain policy improvement algorithm Pollard positive fixed point preferences probability mass function Proof remain until termination risk neutral Section set of optimal stationary action policies Table C.2 Theorem 4.2 tion transition turnpike uniformly continuous utility of lifetime value of continuing vector wealth level