Some remarks on the variance in Markov chains with rewards

0410872 - UTIA-B 20020086 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Sladký, Karel - Sitař, Milan
Some remarks on the variance in Markov chains with rewards.
Ostrava: Technical University, 2002. ISBN 80-248-0153-1. In: Proceedings of the 20th International Conference Mathematical Methods in Economics 2002. - (Ramík, J.), s. 231-236
[Mathematical Methods in Economics 2002 /20./. Ostrava (CZ), 03.09.2002-05.09.2002]
Grant CEP: GA ČR GA402/02/1015; GA ČR GA402/01/0539
Výzkumný záměr: CEZ:AV0Z1075907
Klíčová slova: Markov reward chains * asymptotic behaviour * mean variance penalization
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum

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.
Trvalý link: http://hdl.handle.net/11104/0130959