| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0463231 |
| utime |
20240103212653.1 |
| mtime |
20160930235959.9 |
| WOS |
000385239500133 |
| title
(primary) (eng) |
Transient and Average Markov Reward Chains with Applications to Finance |
| specification |
| page_count |
6 s. |
| media_type |
C |
|
| serial |
| ARLID |
cav_un_epca*0462920 |
| ISBN |
978-80-7494-296-9 |
| title
|
Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016 |
| page_num |
773-778 |
| publisher |
| place |
Liberec |
| name |
Technical University |
| year |
2016 |
|
| editor |
|
|
| keyword |
dynamic programming |
| keyword |
transient and average Markov reward chains |
| keyword |
reward-variance optimality |
| keyword |
optimality in financial models |
| author
(primary) |
| ARLID |
cav_un_auth*0101196 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
100 |
| name1 |
Sladký |
| name2 |
Karel |
| institution |
UTIA-B |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0321097 |
| project_id |
GA15-10331S |
| agency |
GA ČR |
|
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0333702 |
| name |
MME 2016. International Conference Mathematical Methods in Economics /34./ |
| dates |
06.09.2016-09.09.2016 |
| place |
Liberec |
| country |
CZ |
|
| RIV |
BB |
| reportyear |
2017 |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0263954 |
| confidential |
S |
| mrcbC86 |
n.a. Proceedings Paper Economics|Social Sciences Mathematical Methods |
| arlyear |
2016 |
| mrcbU12 |
ISBN 978-80-7494-296-9 |
| mrcbU34 |
000385239500133 WOS |
| mrcbU63 |
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 |
| mrcbU67 |
340 Kocourek A. |
| mrcbU67 |
340 Vavroušek M. |
|