TY - JOUR
T1 - Toma de decisiones de agentes racionales con procesos Markovianos
T2 - Avances recientes en economía y finanzas
AU - Hernández-Lerma, Onésimo
AU - Venegas-Martínez, Francisco
PY - 2012
Y1 - 2012
N2 - This research conducts a review of theoretical and practical developments of Markov processes in the specialized literature, highlighting their recent advances and showing their potential for their technical goodness, in modeling the decision making processes of rational agents adding more realistic dynamics of various economic and financial variables. In particular, the paper highlights several extensions and reformulations of Markov decision processes, stochastic games, stochastic optimal control with diffusion processes, Blackwell optimality for controlled diffusion processes, stochastic optimal control processes with diffusion processes and its combination with Poisson jumps; time series models with Markov chains, and Bayesian networks with Markov chains in conjuntion with Monte Carlo simulation (MCMC).
AB - This research conducts a review of theoretical and practical developments of Markov processes in the specialized literature, highlighting their recent advances and showing their potential for their technical goodness, in modeling the decision making processes of rational agents adding more realistic dynamics of various economic and financial variables. In particular, the paper highlights several extensions and reformulations of Markov decision processes, stochastic games, stochastic optimal control with diffusion processes, Blackwell optimality for controlled diffusion processes, stochastic optimal control processes with diffusion processes and its combination with Poisson jumps; time series models with Markov chains, and Bayesian networks with Markov chains in conjuntion with Monte Carlo simulation (MCMC).
UR - http://www.scopus.com/inward/record.url?scp=84937124747&partnerID=8YFLogxK
U2 - 10.20430/ete.v79i316.75
DO - 10.20430/ete.v79i316.75
M3 - Artículo de revisión
SN - 0041-3011
VL - 79
SP - 733
EP - 779
JO - Trimestre Economico
JF - Trimestre Economico
IS - 316
ER -