Abstract
This note studies the variance of total cumulative rewards for Markov reward chains in both discrete and continuous time. It is shown that parallel results can be obtained for both cases.
First, explicit formulae are presented for the variance within finite time. Next, the infinite time horizon is considered. Most notably, it is concluded that the variance has a linear growth rate. Explicit expressions are provided, related to the standard average reward case, to compute this growth rate.
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© 2005 Springer-Verlag Berlin Heidelberg
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Sladký, K., van Dijk, N.M. (2005). Total Reward Variance in Discrete and Continuous Time Markov Chains. In: Fleuren, H., den Hertog, D., Kort, P. (eds) Operations Research Proceedings 2004. Operations Research Proceedings, vol 2004. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-27679-3_40
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DOI: https://doi.org/10.1007/3-540-27679-3_40
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-24274-1
Online ISBN: 978-3-540-27679-1
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