Calculating the variance in Markov reward chains with a small interest rate.

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F02%3A16020208" target="_blank" >RIV/67985556:_____/02:16020208 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Calculating the variance in Markov reward chains with a small interest rate.
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. 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.
Czech name
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Czech description
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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)

Publication year
2002
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Quantitative Methods in Economics. (Multiple Criteria Decision Making 11).
ISBN
80-8069-114-2
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
230-236
Publisher name
Slovak Agricultural University
Place of publication
Nitra
Event location
Nitra [SK]
Event date
Dec 5, 2002
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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