Some remarks on the variance in Markov chains with rewards.
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F02%3A16020086" target="_blank" >RIV/67985556:_____/02:16020086 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Some remarks on the variance in Markov chains with rewards.
Original language 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.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2002
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 20th International Conference Mathematical Methods in Economics 2002.
ISBN
80-248-0153-1
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
231-236
Publisher name
Technical University
Place of publication
Ostrava
Event location
Ostrava [CZ]
Event date
Sep 3, 2002
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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