Markov Reward Processes

Quan-Lin Li ()
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Quan-Lin Li: Tsinghua University, Department of Industrial Engineering

Chapter 10 in Constructive Computation in Stochastic Models with Applications, 2010, pp 526-573 from Springer

Abstract: Abstract In this chapter, we consider reward processes of an irreducible continuous-time block-structured Markov chain. By using the RG-factorizations, we provide a unified algorithmic framework to derive expressions for conditional distributions and conditional moments of the reward processes. As an important example, we study the reward processes for an irreducible continuous-time level-dependent QBD process with either finitely-many levels or infinitely-many levels. At the same time, we provide a simple introduction to the reward processes of an irreducible discrete-time block-structured Markov chain.

Keywords: stochastic models; RG-factorization; reward process; accumulated reward; reward rate; the first accumulated time (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-11492-2_10

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DOI: 10.1007/978-3-642-11492-2_10

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