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On the total reward variance for continuous-time Markov reward chains
Published online by Cambridge University Press: 14 July 2016
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.
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- © Applied Probability Trust 2006
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