The previous chapter dealt with the discrete-time Markov decision model. In this model, decisions can be made only at fixed epochs t = 0, 1, . . . . However, in many stochastic control problems the times between the decision epochs are not constant but random. A possible tool for analysing such problems is the semiMarkov decision model. In Section 7.1 we discuss the basic elements of this model...

In the last years, several authors studied a class of continuous-time semi-Markov processes obtained by time-changing Markov hitting times independent subordinators. Such are governed integro-differential convolution equations generalized fractional type. The aim this paper is to develop discrete-time counterpart such theory and show relationships differences with r...