Moments’ Analysis in Homogeneous Markov Reward Models

F. Castella, G. Dujardin and B. Sericola ()
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F. Castella: Université de Rennes I, Campus de Beaulieu
G. Dujardin: Université de Rennes I, Campus de Beaulieu
B. Sericola: INRIA Rennes - Bretagne Atlantique, Campus de Beaulieu

Methodology and Computing in Applied Probability, 2009, vol. 11, issue 4, 583-601

Abstract: Abstract We analyze the moments of the accumulated reward over the interval (0,t) in a continuous-time Markov chain. We develop a numerical procedure to compute efficiently the normalized moments using the uniformization technique. Our algorithm involves auxiliary quantities whose convergence is analyzed, and for which we provide a probabilistic interpretation.

Keywords: Markov models; Accumulated reward; Performability; Uniformization; Primary 60J22; Secondary 60J27 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s11009-008-9075-5

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