| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0410994 |
| utime |
20240103182254.3 |
| mtime |
20060210235959.9 |
| ISBN |
80-8069-114-2 |
| title
(primary) (eng) |
Calculating the variance in Markov reward chains with a small interest rate |
| publisher |
| place |
Nitra |
| name |
Slovak Agricultural University |
| pub_time |
2002 |
|
| specification |
|
| serial |
| title
|
Quantitative Methods in Economics. (Multiple Criteria Decision Making 11) |
| page_num |
230-236 |
| editor |
|
|
| keyword |
Markov reward processes |
| keyword |
reward variance |
| keyword |
small interest rate |
| author
(primary) |
| ARLID |
cav_un_auth*0101193 |
| name1 |
Sitař |
| name2 |
Milan |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| 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. |
|
| COSATI |
12B |
| cas_special |
| project |
| project_id |
GA402/02/1015 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0000527 |
|
| project |
| project_id |
GA402/01/0539 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0008959 |
|
| research |
CEZ:AV0Z1075907 |
| abstract
(eng) |
We consider a discrete time Markov reward process with finite state space and assume that the rewards associated with the transitions are random variables with known probability distributions. Formulas for expected value and variance of the cumulative (random) reward are obtained for finite horizon case and infinite horizon models with discounting. Employing the Laurent expansion techniques we obtain explicit formulas for the variance of the long run discounted reward in the terms of undiscounted models. |
| action |
| ARLID |
cav_un_auth*0212992 |
| name |
Quantitative Methods in Economics /11./ |
| place |
Nitra |
| country |
SK |
| dates |
05.12.2002-06.12.2002 |
|
| RIV |
BB |
| department |
E |
| permalink |
http://hdl.handle.net/11104/0131081 |
| ID_orig |
UTIA-B 20020208 |
| arlyear |
2002 |
| mrcbU10 |
2002 |
| mrcbU10 |
Nitra Slovak Agricultural University |
| mrcbU12 |
80-8069-114-2 |
| mrcbU63 |
Quantitative Methods in Economics. (Multiple Criteria Decision Making 11) 230 236 |
| mrcbU67 |
Magáthová V. 340 |
|