Transient and Average Markov Reward Chains with Applications to Finance

0463231 - ÚTIA 2017 RIV CZ eng C - Conference Paper (international conference)
Sladký, Karel
Transient and Average Markov Reward Chains with Applications to Finance.
Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016. Liberec: Technical University, 2016 - (Kocourek, A.; Vavroušek, M.), s. 773-778. ISBN 978-80-7494-296-9.
[MME 2016. International Conference Mathematical Methods in Economics /34./. Liberec (CZ), 06.09.2016-09.09.2016]
R&D Projects: GA ČR GA15-10331S
Institutional support: RVO:67985556
Keywords : dynamic programming * transient and average Markov reward chains * reward-variance optimality * optimality in financial models
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2016/E/sladky-0463231.pdf

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.
Permanent Link: http://hdl.handle.net/11104/0263954