Cascade Markov Decision Processes: Theory and Applications (1509.00392v1)

Abstract: This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine the optimal performance and feedback controls, while some other cases are shown to lead to singular optimal control problems which are more difficult to solve. Solution techniques are demonstrated using examples from finance to behavioral decision making.