Asymptotic behavior of multivariate reward processes with nonlinear reward functions (Q1413662): Difference between revisions

Multivariate reward processes defined on a countable state space semi-Markov process with a Markov renewal process and nonlinear reward functions are studied. The model is a generalization of one defined by the second author [J. Appl. Probab. 33, 1011-1017 (1996; Zbl 0867.60079)]. Using the relation between Laplace transforms of different components of the reward process, the Laplace transforms of the process mean vector and covariation matrix are specified. It leads to asymptotic formulas for the mean vector with remainders of order \(o(1)\) and for the covariation matrix with remainders of order \(o(t)\). An example is given and followed through the paper.