| bibtype |
J -
Journal Article
|
| ARLID |
0079739 |
| utime |
20240103183934.1 |
| mtime |
20070302235959.9 |
| title
(primary) (eng) |
On the Total Reward Variance for Continuous-Time Markov Reward Chains |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0256875 |
| ISSN |
0021-9002 |
| title
|
Journal of Applied Probability |
| volume_id |
43 |
| volume |
4 (2006) |
| page_num |
1044-1052 |
| publisher |
| name |
Cambridge University Press |
|
|
| title
(cze) |
O rozptylu celkového výnosu ve spojitých markovských procesech s ohodnocení |
| keyword |
continuous-time Markov reward chain |
| keyword |
variance of cumulative reward |
| keyword |
asymptotic behaviour |
| keyword |
uniformization |
| author
(primary) |
| ARLID |
cav_un_auth*0101196 |
| name1 |
Sladký |
| name2 |
Karel |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0212066 |
| name1 |
van Dijk |
| name2 |
N. M. |
| country |
NL |
|
| COSATI |
12B |
| cas_special |
| project |
| project_id |
GA402/05/0115 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0001811 |
|
| project |
| project_id |
GA402/04/1294 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0001810 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
As an extension of the discrete-time case, this note investigates the variance of the total cumulative reward for continuous-time Markov reward chains with finite state spaces. The results correspond to discrete-time results. In particular, the variance growth rate is shown to be asymptotically linear in time. Expressions are provided to compute this growth rate. |
| abstract
(cze) |
V práci se studuje rozptyl celkého kumulativního výnosu ve spojitých markovských procesech s ohodnoceními a konečným stavovým prostorem. Dosažené výsledky dobře odpovídající poznatkům pro modely s diskrétním časem, růst rozptylu celkového výnosu je v čase asymptoticky lineární. Jsou uvedeny vzorce pro výpočet míry růstu celkového rozptylu. |
| reportyear |
2007 |
| RIV |
BB |
| permalink |
http://hdl.handle.net/11104/0144321 |
| arlyear |
2006 |
| mrcbU63 |
cav_un_epca*0256875 Journal of Applied Probability 0021-9002 1475-6072 Roč. 43 č. 4 2006 1044 1052 Cambridge University Press |
|