0463231 20240103212653.120160930235959.9 000385239500133 6 s. C cav_un_epca*0462920978-80-7494-296-9773-778LiberecTechnical University2016KocourekA. dynamic programming transient and average Markov reward chains reward-variance optimality optimality in financial models cav_un_auth*0101196 Ekonometrie Department of Econometrics E E Department of Econometrics 100 Sladký Karel UTIA-B K Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2016/E/sladky-0463231.pdf cav_un_auth*0321097 GA15-10331S GA ČR 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. cav_un_auth*0333702 MME 2016. International Conference Mathematical Methods in Economics /34./ 06.09.2016-09.09.2016 Liberec CZ BB 2017 1 RVO:67985556 http://hdl.handle.net/11104/0263954 S n.a. Proceedings Paper Economics|Social Sciences Mathematical Methods 2016 ISBN 978-80-7494-296-9 000385239500133 WOS cav_un_epca*0462920 Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016 978-80-7494-296-9 773 778 Liberec Technical University 2016 340 Kocourek A. 340 Vavroušek M.