Název:
Some remarks on the variance in Markov chains with rewards
Autoři:
Sladký, Karel ; Sitař, Milan Typ dokumentu: Příspěvky z konference Konference/Akce: Mathematical Methods in Economics 2002 /20./, Ostrava (CZ), 2002-09-03 / 2002-09-05
Rok:
2002
Jazyk:
eng
Abstrakt: We consider a discrete time Markov reward process with finite state space and assume that the rewards associated with the transitions are random variables with known probability distributions and finite first and second moments. We are interested in properties of cumulative reward earned in the subsequent transitions of the Markov chain. Explicit formulas for expected values and variance of the cumulative (random) reward are obtained for finite and infinite horizon models.
Klíčová slova:
asymptotic behaviour; Markov reward chains; mean variance penalization Číslo projektu: CEZ:AV0Z1075907 (CEP), GA402/02/1015 (CEP), GA402/01/0539 (CEP) Poskytovatel projektu: GA ČR, GA ČR Zdrojový dokument: Proceedings of the 20th International Conference Mathematical Methods in Economics 2002
Instituce: Ústav teorie informace a automatizace AV ČR
(web)
Informace o dostupnosti dokumentu:
Dokument je dostupný v příslušném ústavu Akademie věd ČR. Původní záznam: http://hdl.handle.net/11104/0130959