1 citations · 1 across the 2 of their papers we have counts for
3 papers
Sufficiency of Markov Policies for Continuous-Time Jump Markov Decision Processes
Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev
This paper extends to Continuous-Time Jump Markov Decision Processes (CTJMDP) the classic result for Markov Decision Processes stating that, for a given initial state distribution,…
Kolmogorov's Equations for Jump Markov Processes with Unbounded Jump Rates
Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev
As well-known, transition probabilities of jump Markov processes satisfy Kolmogorov's backward and forward equations. In the seminal 1940 paper, William Feller investigated solutio…
On solutions of Kolmogorov's equations for jump Markov processes
Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev
This paper studies three ways to construct a nonhomogeneous jump Markov process: (i) via a compensator of the random measure of a multivariate point process, (ii) as a minimal solu…