Bibliography
Conference Paper (international conference)
Some remarks on the variance in Markov chains with rewards
,
: Proceedings of the 20th International Conference Mathematical Methods in Economics 2002, p. 231-236 , Eds: Ramík J.
: Technical University, (Ostrava 2002)
: Mathematical Methods in Economics 2002 /20./, (Ostrava, CZ, 03.09.2002-05.09.2002)
: CEZ:AV0Z1075907
: GA402/02/1015, GA ČR, GA402/01/0539, GA ČR
: Markov reward chains, asymptotic behaviour, mean variance penalization
(eng): 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.
: 12B, 05D
: BB