On mean reward variance in semi-Markov processes

被引：0
作者：
Karel Sladký
机构：
[1] Academy of Sciences of the Czech Republic,Institute of Information Theory and Automation
来源：
Mathematical Methods of Operations Research | 2005年 / 62卷
关键词：
Markov and semi-Markov processes with rewards; Variance of cumulative reward; Asymptotic behaviour; Primary 90C47; Secondary 60J27;
D O I：
暂无
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学科分类号：
摘要：
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.
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页码：387 / 397
页数：10
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