Abstract
In this paper we study m-discount optimality (m≥ −1) and Blackwell optimality for a general class of controlled (Markov) diffusion processes. To this end, a key step is to express the expected discounted reward function as a Laurent series, and then search certain control policies that lexicographically maximize themth coefficient of this series form= −1,0,1,…. This approach naturally leads tom-discount optimality and it gives Blackwell optimality in the limit asm→ ∞.
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