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

Permalink: http://www.nusl.cz/ntk/nusl-20079


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Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers