Original title: Some remarks on the variance in Markov chains with rewards
Authors: Sladký, Karel ; Sitař, Milan
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2002 /20./, Ostrava (CZ), 2002-09-03 / 2002-09-05
Year: 2002
Language: eng
Abstract: 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.
Keywords: asymptotic behaviour; Markov reward chains; mean variance penalization
Project no.: CEZ:AV0Z1075907 (CEP), GA402/02/1015 (CEP), GA402/01/0539 (CEP)
Funding provider: GA ČR, GA ČR
Host item entry: Proceedings of the 20th International Conference Mathematical Methods in Economics 2002

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/11104/0130959

Permalink: http://www.nusl.cz/ntk/nusl-34929


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