Transient and Average Markov Reward Chains with Applications to Finance
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00463231" target="_blank" >RIV/67985556:_____/16:00463231 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
Transient and Average Markov Reward Chains with Applications to Finance
Original language description
The article is devoted to Markov reward chains, in particular, attention is primarily focused on the reward variance arising by summation of generated rewards. Explicit formulae for calculating the variances for transient and average models are reported along with sketches of algorithmic procedures for finding policies guaranteeing minimal variance in the class of policies with a given transient or average reward. Application of the obtained results to financial models is indicated.
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
—
Result continuities
Project
<a href="/en/project/GA15-10331S" target="_blank" >GA15-10331S: Dynamic modeling of mortgage porkredtfolio risk</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2016
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 34th International Conference Mathematical Methods in Economics MME 2016
ISBN
978-80-7494-296-9
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
773-778
Publisher name
Technical University
Place of publication
Liberec
Event location
Liberec
Event date
Sep 6, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000385239500133