Original title:
Some remarks on the variance in Markov reward processes
Translated title:
Poznámky k rozptylu celkového výnosu u markovských procesů s ohodnoceními
Authors:
Sladký, Karel Document type: Papers Conference/Event: Mathematical Methods in Economics 2004 /22./, Brno (CZ), 2004-09-15 / 2004-09-17
Year:
2004
Language:
eng Abstract:
[eng][cze] We consider Markov reward processes with finite state space both in discrete- and continuous-time setting. Explicit formulas for the second moment and variance of the cumulative (random) reward up to a given time point are obtained.V práci se vyšetřují markovské procesy s ohodnoceními v diskrétních i spojitém čase. Jsou nalezeny explicitní vztahy pro druhý moment a varianci celkového (náhodného) výnosu do daného časového okamžiku
Keywords:
expectation and variance of cumulative rewards; Markov reward processes with finite state space Project no.: CEZ:AV0Z1075907 (CEP), GA402/02/1015 (CEP), GA402/04/1294 (CEP) Funding provider: GA ČR, GA ČR Host item entry: Proceedings of the 22nd International Conference Mathematical Methods in Economics 2004, ISBN 80-210-3496-3
Institution: Institute of Information Theory and Automation AS ČR
(web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences. Original record: http://hdl.handle.net/11104/0013517