Bibliography

Conference Paper (international conference)

Some remarks on the variance in Markov reward processes

: Proceedings of the 22nd International Conference Mathematical Methods in Economics 2004, p. 292-297

: Mathematical Methods in Economics 2004 /22./, (Brno, CZ, 15.09.2004-17.09.2004)

: CEZ:AV0Z1075907

: GA402/02/1015, GA ČR, GA402/04/1294, GA ČR

: Markov reward processes with finite state space, expectation and variance of cumulative rewards

(eng): We consider Markov reward processes with finite state space both in discrete- and continuous-time setting. Explicit formulas for the second moment and variance of the cumulative (random) reward up to a given time point are obtained.

(cze): V práci se vyšetřují markovské procesy s ohodnoceními v diskrétních i spojitém čase. Jsou nalezeny explicitní vztahy pro druhý moment a varianci celkového (náhodného) výnosu do daného časového okamžiku

: 12B

: BB