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

页码：292 / 297

页数：6

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