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Asymptotic Evaluations of the Stability Index for a Markov Control Process with the Expected Total Discounted Reward Criterion

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Document pages: 24 pages

Abstract: In thiswork, for a control consumption-investment process with the discounted rewardoptimization criteria, a numerical estimate of the stability index is made.Using explicit formulas for the optimal stationary policies and for the valuefunctions, the stability index is explicitly calculated and through statisticaltechniques its asymptotic behavior is investigated (using numericalexperiments) when the discount coefficient approaches 1. The results obtained definethe conditions under which an approximate optimal stationary policy can be usedto control the original process.

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