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Description
  • V práci se studuje rozptyl celkého kumulativního výnosu ve spojitých markovských procesech s ohodnoceními a konečným stavovým prostorem. Dosažené výsledky dobře odpovídající poznatkům pro modely s diskrétním časem, růst rozptylu celkového výnosu je v čase asymptoticky lineární. Jsou uvedeny vzorce pro výpočet míry růstu celkového rozptylu. (cs)
  • As an extension of the discrete-time case, this note investigates the variance of the total cumulative reward for continuous-time Markov reward chains with finite state spaces. The results correspond to discrete-time results. In particular, the variance growth rate is shown to be asymptotically linear in time. Expressions are provided to compute this growth rate.
  • As an extension of the discrete-time case, this note investigates the variance of the total cumulative reward for continuous-time Markov reward chains with finite state spaces. The results correspond to discrete-time results. In particular, the variance growth rate is shown to be asymptotically linear in time. Expressions are provided to compute this growth rate. (en)
Title
  • On the Total Reward Variance for Continuous-Time Markov Reward Chains
  • O rozptylu celkového výnosu ve spojitých markovských procesech s ohodnocení (cs)
  • On the Total Reward Variance for Continuous-Time Markov Reward Chains (en)
skos:prefLabel
  • On the Total Reward Variance for Continuous-Time Markov Reward Chains
  • O rozptylu celkového výnosu ve spojitých markovských procesech s ohodnocení (cs)
  • On the Total Reward Variance for Continuous-Time Markov Reward Chains (en)
skos:notation
  • RIV/67985556:_____/06:00079739!RIV07-AV0-67985556
http://linked.open.../vavai/riv/strany
  • 1044;1052
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/04/1294), P(GA402/05/0115), Z(AV0Z10750506)
http://linked.open...iv/cisloPeriodika
  • 4
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 490521
http://linked.open...ai/riv/idVysledku
  • RIV/67985556:_____/06:00079739
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • continuous-time Markov reward chain; variance of cumulative reward; asymptotic behaviour; uniformization (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • GB - Spojené království Velké Británie a Severního Irska
http://linked.open...ontrolniKodProRIV
  • [079A0A380F3A]
http://linked.open...i/riv/nazevZdroje
  • Journal of Applied Probability
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 43
http://linked.open...iv/tvurceVysledku
  • Sladký, Karel
  • van Dijk, N. M.
http://linked.open...n/vavai/riv/zamer
issn
  • 0021-9002
number of pages
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