On Total reward variance for Continous-Time markov Reward Chains
| Authors |
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| Publication date | 2006 |
| Journal | Journal of Applied Probability |
| Volume | Issue number | 43 | 4 |
| Pages (from-to) | 1044-1052 |
| Number of pages | 9 |
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| Abstract |
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 |
| Document type | Article |
| Published at | https://doi.org/10.1239/jap/1165505206 |
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