Nonstationary Continuous Time Markov Decision Processes with Discounted Criterion

This paper first investigates the nonstationary continuous time Markov decision processes with discounted criterion. The state space S and the action sets A(i) are countable, the transition rates qij(t, a) and the reward rate functions ri(t, a) are nonhomogeneous. Using the operator method, we deal with the optimality equation and the existence of ϵ optimal policies of this model.