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a r t i c l e i n f o a b s t r a c t This paper studies three ways to construct a nonhomogeneous jump Markov process: (i) via a compensator of the random measure of a multivariate point process, (ii) as a minimal solution of the backward Kolmogorov equation, and (iii) as a minimal solution of the forward Kolmogorov equation. The main conclusion of this… (More)

— In continuous-time Markov decision processes (CTMDPs) with Borel state and action spaces, unbounded transition rates, for an arbitrary policy, we construct a relaxed Markov policy such that the marginal distribution on the state-action pairs at any time instant is the same for both the policies. This result implies the existence of a relaxed Markov policy… (More)

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