About: Some remarks on the variance in Markov chains with rewards.     Goto   Sponge   NotDistinct   Permalink

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Description
  • 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.
  • 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. (en)
Title
  • Some remarks on the variance in Markov chains with rewards.
  • Some remarks on the variance in Markov chains with rewards. (en)
skos:prefLabel
  • Some remarks on the variance in Markov chains with rewards.
  • Some remarks on the variance in Markov chains with rewards. (en)
skos:notation
  • RIV/67985556:_____/02:16020086!RIV/2003/GA0/A16003/N
http://linked.open.../vavai/riv/strany
  • 231;236
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/01/0539), P(GA402/02/1015), Z(AV0Z1075907)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
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  • 664232
http://linked.open...ai/riv/idVysledku
  • RIV/67985556:_____/02:16020086
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Markov reward chains; asymptotic behaviour; mean variance penalization (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [3F12369BF335]
http://linked.open...v/mistoKonaniAkce
  • Ostrava [CZ]
http://linked.open...i/riv/mistoVydani
  • Ostrava
http://linked.open...i/riv/nazevZdroje
  • Proceedings of the 20th International Conference Mathematical Methods in Economics 2002.
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
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http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Sladký, Karel
  • Sitař, Milan
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Technical University
https://schema.org/isbn
  • 80-248-0153-1
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