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Query: faculty: "FEB" and publication year: "2006"

AuthorsN.M. van Dijk, K. Sladky
TitleOn Total reward variance for Continous-Time markov Reward Chains
JournalJournal of Applied Probability
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractAs an extension of the discrete-time case, this note investigates the variance of the total cumulative reward for continuous-time Markov reward chains with finite state spaces. The results correspond to discrete-time results. In particular, the variance growth rate is shown to be asymptotically linear in time. Expressions are provided to compute this growth rate.

Primary Subjects: 90C47
Secondary Subjects: 60J27
Keywords: Continuous-time Markov reward chain; variance of cumulative reward; asymptotic behaviour; uniformization
Document typeArticle
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