On mean reward variance in semi-Markov processes

Karel Sladký ()

Mathematical Methods of Operations Research, 2005, vol. 62, issue 3, 387-397

Abstract: As an extension of the discrete-time case, this note investigates the variance of the total cumulative reward for the embedded Markov chain of semi-Markov processes. Under the assumption that the chain is aperiodic and contains a single class of recurrent states recursive formulae for the variance are obtained which show that the variance growth rate is asymptotically linear in time. Expressions are provided to compute this growth rate. Copyright Springer-Verlag 2005

Keywords: Markov and semi-Markov processes with rewards; Variance of cumulative reward; Asymptotic behaviour; Primary 90C47; Secondary 60J27 (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s00186-005-0039-z

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