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Mandl, Petr
A connection between controlled Markov chains and martingales. (English). Kybernetika, vol. 9 (1973), issue 4, pp. (237)-241
MSC: 60F05, 60G45, 60J05, 93E20 | MR 0323427 | Zbl 0265.60060
References:
[1] R. Bellman: A Markovian decision process. J. of Math. and Mech. 6 (1957), 679-684. MR 0091859 | Zbl 0078.34101
[2] P. Billingsley: The Lindeberg-Lévy theorem for martingales. Proc. Amer. Math. Soc. 12 (1961), 788-792. MR 0126871 | Zbl 0129.10701
[3] B. M. Brown G. K. Eagleson: Martingale convergence to infinitely divisible laws with finite variances. Trans. Amer. Math. Soc. 162 (1971), 449-453. MR 0288806
[4] M. Loéve: Probability theory. Princeton 1960. MR 0123342
[5] P. Mandl: On the variance in controlled Markov chains. Kybernetika 7 (1971), 1-12. MR 0286178 | Zbl 0215.25902
[6] P. Mandl: On the asymptotic normality of the reward in a controlled Markov chain. (To appear in Trans. of European Meeting of Statisticians held in Budapest, 1972.) MR 0381808
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