On the Existence of Good Markov StrategiesTransactions of the American Mathematical Society
AbstractIn contrast to the known fact that there are gambling problems based on a finite state space for which no stationary family of strategies is at all good, in every such problem there always exist ε-optimal Markov families (in which the strategy depends only on the current state and time) and also ε-optimal tracking families (in which the strategy depends only on the current state and the number of times that state has been previously visited). More generally, this result holds for all finite state gambling problems with a payoff which is shift and permutation invariant.
Citation InformationTheodore P. Hill. "On the Existence of Good Markov Strategies" Transactions of the American Mathematical Society Vol. 247 (1979) p. 157 - 176
Available at: http://works.bepress.com/tphill/8/