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Statements

Subject Item
n2:RIV%2F67985556%3A_____%2F02%3A16020208%21RIV%2F2003%2FGA0%2FA16003%2FN
rdf:type
skos:Concept n21:Vysledek
dcterms: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. Formulas for expected value and variance of the cumulative (random) reward are obtained for finite horizon case and infinite horizon models with discounting. Employing the Laurent expansion techniques we obtain explicit formulas for the variance of the long run discounted reward in the terms of undiscounted 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. Formulas for expected value and variance of the cumulative (random) reward are obtained for finite horizon case and infinite horizon models with discounting. Employing the Laurent expansion techniques we obtain explicit formulas for the variance of the long run discounted reward in the terms of undiscounted models.
dcterms:title
Calculating the variance in Markov reward chains with a small interest rate. Calculating the variance in Markov reward chains with a small interest rate.
skos:prefLabel
Calculating the variance in Markov reward chains with a small interest rate. Calculating the variance in Markov reward chains with a small interest rate.
skos:notation
RIV/67985556:_____/02:16020208!RIV/2003/GA0/A16003/N
n3:strany
230;236
n3:aktivita
n11:P n11:Z
n3:aktivity
P(GA402/01/0539), P(GA402/02/1015), Z(AV0Z1075907)
n3:dodaniDat
n9:2003
n3:domaciTvurceVysledku
n18:6484603 n18:6105955
n3:druhVysledku
n17:D
n3:duvernostUdaju
n6:S
n3:entitaPredkladatele
n4:predkladatel
n3:idSjednocenehoVysledku
640021
n3:idVysledku
RIV/67985556:_____/02:16020208
n3:jazykVysledku
n19:eng
n3:klicovaSlova
Markov reward processes; reward variance; small interest rate
n3:klicoveSlovo
n15:Markov%20reward%20processes n15:small%20interest%20rate n15:reward%20variance
n3:kontrolniKodProRIV
[ABF5A25CAA01]
n3:mistoKonaniAkce
Nitra [SK]
n3:mistoVydani
Nitra
n3:nazevZdroje
Quantitative Methods in Economics. (Multiple Criteria Decision Making 11).
n3:obor
n20:BB
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:pocetUcastnikuAkce
0
n3:pocetZahranicnichUcastnikuAkce
0
n3:projekt
n8:GA402%2F01%2F0539 n8:GA402%2F02%2F1015
n3:rokUplatneniVysledku
n9:2002
n3:tvurceVysledku
Sitař, Milan Sladký, Karel
n3:typAkce
n10:EUR
n3:zahajeniAkce
2002-12-05+01:00
n3:zamer
n14:AV0Z1075907
s:numberOfPages
7
n7:hasPublisher
Slovenská poľnohospodárska univerzita v Nitre
n12:isbn
80-8069-114-2