Seminars: V. A. Kashtanov, On a structure of an accumulation function constructed on trajectories of controlled semi-Markov process with finite state space

SEMINARS


Principle Seminar of the Department of Probability Theory, Moscow State University November 5, 2014 16:45, Moscow, MSU, auditorium 12-24

On a structure of an accumulation function constructed on trajectories of controlled semi-Markov process with finite state space V. A. Kashtanov^ab ^a Moscow Institute of Electronics and Mathematics (Technical University) ^b M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract: We consider a controlled semi-Markov process with finite state space whose embedded Markov chain has several closed classes of communicating states. We prove the theorem which states that the accumulation function depends in a linear fractional manner on probability measures defining a Markov homogeneous randomizing strategy. This result determines a structure of distributions providing extremal values of objective functionals.