N.M. van Dijk
- On Total reward variance for Continous-Time markov Reward Chains
- Journal of Applied Probability
- Volume | Issue number
- 43 | 4
- Pages (from-to)
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
As 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
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