Total reward variance in discrete and continuous time Markov chains

Result code in IS VaVaI

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Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Total reward variance in discrete and continuous time Markov chains

Original language description

This note studies the variance of total cumulative rewards for Markov reward chains in both discrete and continuous time. It is shown that parallel results can be obtained for both cases. First, explicit formulae are presented for the variance within finite time. Next, the infinite time horizon is considered. Most notably, it is concluded that the variance has a linear growth rate. Explicit expressions are provided, related to the standard average reward case, to compute this growth rate.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2005

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Operations Research Proceedings 2004

ISBN

978-3-540-27679-1

ISSN

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e-ISSN

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Number of pages

8

Pages from-to

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Publisher name

Springer

Place of publication

Berlin

Event location

Tilburg

Event date

Sep 1, 2004

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

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