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most citedFatou's Lemma in Its Classic Form and Lebesgue's Convergence Theorems for Varying Measures with Applications to MDPs

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math.PR2021

Kolmogorov's Equations for Jump Markov Processes and their Applications to Control Problems

Eugene A. Feinberg, Albert N. Shiryaev

This paper describes the structure of solutions to Kolmogorov's equations for nonhomogeneous jump Markov processes and applications of these results to control of jump stochastic s…