0536251 20240103224942.320201215235959.9 7 s. P cav_un_epca*0536250978-80-89962-60-0305-311BratislavaUniversity of Economics2020ReiffMarianGežíkPavel Continuous-time Markov reward chains exponential utility formulae for central moments cav_un_auth*0101196 100 Sladký Karel UTIA-B Ekonometrie Department of Econometrics E E Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2020/E/sladky-0536251.pdf cav_un_auth*0363963 GA18-02739S GA ČR In this note we consider continuous-time Markov decision processes with finite state space where the stream of rewards generated by the Markov processes is evaluated by an exponential utility function with a given risk sensitivity coefficient (so-called risk-sensitive models). For the risk-sensitive case, i.e. if the considered risk-sensitivity coefficient is nonzero, we establish explicit formulas for growth rate of expectation of the exponential utility function. Recall that in this case along with the total reward also its higher moments are taken into account. Using Taylor expansion of the utility function we present explicit formulae for calculating variance and higher central moments of the total reward generated by the Markov reward process along with its asymptotic behavior. cav_un_auth*0401181 Quantitative Methods in Economics 2020 (Multiple Criteria Decision Making 2020) /20./ 20200527 20200529 Púchov SK BB 10000 10100 10103 2021 1 PR RVO:67985556 http://hdl.handle.net/11104/0314254 S 2020 SCOPUS PUBMED WOS cav_un_epca*0536250 QUANTITATIVE METHODS IN ECONOMICS : Multiple Criteria Decision Making XX University of Economics 2020 Bratislava 305 311 978-80-89962-60-0 340 Reiff Marian 340 Gežík Pavel