Finite-state control of continuous-state processes: The discrete time case

Author(s):  
David Wimpey ◽  
Timothy Johnson
2006 ◽  
Vol 43 (04) ◽  
pp. 1044-1052 ◽  
Author(s):  
Nico M. Van Dijk ◽  
Karel Sladký

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.


1996 ◽  
Vol 29 (1) ◽  
pp. 4884-4889 ◽  
Author(s):  
Wolf Kohn ◽  
Anil Nerode ◽  
John James ◽  
Jeffrey Remmel ◽  
Benjamin Cummings

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