Original title: Transient and Average Markov Reward Chains with Applications to Finance
Authors: Sladký, Karel
Document type: Papers
Conference/Event: MME 2016. International Conference Mathematical Methods in Economics /34./, Liberec (CZ), 2016-09-06 / 2016-09-09
Year: 2016
Language: eng
Abstract: 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.
Keywords: dynamic programming; optimality in financial models; reward-variance optimality; transient and average Markov reward chains
Project no.: GA15-10331S (CEP)
Funding provider: GA ČR
Host item entry: Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016, ISBN 978-80-7494-296-9

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2016/E/sladky-0463231.pdf
Original record: http://hdl.handle.net/11104/0263954

Permalink: http://www.nusl.cz/ntk/nusl-261340


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