Název:
Transient and Average Markov Reward Chains with Applications to Finance
Autoři:
Sladký, Karel Typ dokumentu: Příspěvky z konference Konference/Akce: MME 2016. International Conference Mathematical Methods in Economics /34./, Liberec (CZ), 2016-09-06 / 2016-09-09
Rok:
2016
Jazyk:
eng
Abstrakt: The article is devoted to Markov reward chains, in particular, attention is primarily focused on the reward variance arising by summation of generated rewards. Explicit formulae for calculating the variances for transient and average models are reported along with sketches of algorithmic procedures for finding policies guaranteeing minimal variance in the class of policies with a given transient or average reward. Application of the obtained results to financial models is indicated.
Klíčová slova:
dynamic programming; optimality in financial models; reward-variance optimality; transient and average Markov reward chains Číslo projektu: GA15-10331S (CEP) Poskytovatel projektu: GA ČR Zdrojový dokument: Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016, ISBN 978-80-7494-296-9