| Article ID: | iaor19911679 |
| Country: | Switzerland |
| Volume: | 28 |
| Start Page Number: | 67 |
| End Page Number: | 80 |
| Publication Date: | Apr 1991 |
| Journal: | Annals of Operations Research |
| Authors: | Mandl P., Lausmanova M. |
The application of the Skorokhod representation of martingales and of the local asymptotic normality to derive limit inequalities for the cost in controlled finite state Markov chains in reviewed. The inequalities are usable in self-optimizing control. The methods are taken from the references listed but, with the exception of proposition 4, the results are formulated for Markov chains for the first time.