Moments analysis in Markov reward models
Résumé
We analyze the moments of the accumulated reward over the interval (0, t) in a continuous-time Markov chain. We develop a numerical procedure to efficiently compute the normalized moments using the uniformization technique. Our algorithm involves auxiliary quantities whose convergence is analyzed, and for which we provide a probabilistic interpretation.
| Origine | Fichiers produits par l'(les) auteur(s) |
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