Power moments for accumulated rewards defined on Markov and semi-Markov chains are studied. A model with mixed time-space termination of reward accumulation is considered for inhomogeneous in time rewards and Markov chains. Characterization of power moments as minimal solutions of recurrence system of linear equations, sufficient conditions for finiteness of these moments and upper bounds for them, expressed in terms of so-called test functions, are given. Backward recurrence algorithms for funding of power moments of accumulated rewards and various time-space truncation approximations reducing dimension of the corresponding recurrence relations are described.
Computational Algorithms for Moments of Accumulated Markov and Semi-Markov Rewards / Dmitrii, Silvestrov; Manca, Raimondo; Evelina, Silvestrova. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - STAMPA. - 43:7(2014), pp. 1453-1469. [10.1080/03610926.2013.800882]
Computational Algorithms for Moments of Accumulated Markov and Semi-Markov Rewards
MANCA, Raimondo;
2014
Abstract
Power moments for accumulated rewards defined on Markov and semi-Markov chains are studied. A model with mixed time-space termination of reward accumulation is considered for inhomogeneous in time rewards and Markov chains. Characterization of power moments as minimal solutions of recurrence system of linear equations, sufficient conditions for finiteness of these moments and upper bounds for them, expressed in terms of so-called test functions, are given. Backward recurrence algorithms for funding of power moments of accumulated rewards and various time-space truncation approximations reducing dimension of the corresponding recurrence relations are described.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
