On the total reward variance for continuous-time Markov reward chains
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Publication:5441521
DOI10.1239/jap/1165505206zbMath1169.90479OpenAlexW2069131959MaRDI QIDQ5441521
Nico M. van Dijk, Karel Sladký
Publication date: 15 February 2008
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1165505206
Minimax problems in mathematical programming (90C47) Markov and semi-Markov decision processes (90C40) Continuous-time Markov processes on discrete state spaces (60J27)
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Optimizing a production-inventory system under a cost target ⋮ Variance minimization for constrained discounted continuous-time MDPs with exponentially distributed stopping times ⋮ Mean-variance problems for finite horizon semi-Markov decision processes ⋮ On minimizing downside risk in <scp>make‐to‐stock</scp>, <scp>risk‐averse</scp> firms ⋮ An Inequality for Variances of the Discounted Rewards
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