Convergence of probability measures and Markov decision models with incomplete information

Eugene A. Feinberg ; Pavlo O. Kasyanov ; Michael Z. Zgurovsky

Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic calculus, martingales, and their applications, Tome 287 (2014), pp. 103-124

Résumé

This paper deals with three major types of convergence of probability measures on metric spaces: weak convergence, setwise convergence, and convergence in total variation. First, it describes and compares necessary and sufficient conditions for these types of convergence, some of which are well-known, in terms of convergence of probabilities of open and closed sets and, for the probabilities on the real line, in terms of convergence of distribution functions. Second, it provides criteria for weak and setwise convergence of probability measures and continuity of stochastic kernels in terms of convergence of probabilities defined on the base of the topology generated by the metric. Third, it provides applications to control of partially observable Markov decision processes and, in particular, to Markov decision models with incomplete information.