Some Remarks on the Variance in Markov Reward Processes

被引：0
|
作者：
Sladky, Karel [1 ]
机构：
[1] Acad Sci Czech Republic, Inst Informat Theory & Automat, Dept Econometr, CR-18208 Prague 8, Czech Republic
来源：
PROCEEDINGS OF THE 22ND INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2004 | 2004年
关键词：
Markov reward processes with finite state space; expectation and variance of cumulative rewards;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We consider Markov reward processes with finite state space both in discrete- and continuous-time setting. Explicit formulas for the second moment and variance of the cumulative (random) reward up to a given time point are obtained.
引用
收藏
页码：292 / 297
页数：6
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