Moments' Analysis in Homogeneous Markov Reward Models

François Castella (1, 2) , Guillaume Dujardin (2) , Bruno Sericola (3)

1 IRMAR - Institut de Recherche Mathématique de Rennes
2 IPSO - Invariant Preserving SOlvers
3 DIONYSOS - Dependability Interoperability and perfOrmance aNalYsiS Of networkS

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 compute efficiently the normalized moments using the uniformization technique. Our algorithm involves auxiliary quantities whose convergence is analyzed, and for which we provide a probabilistic interpretation

Domaines: Analyse numérique [math.NA]

François Castella, Guillaume Dujardin, Bruno Sericola. Moments' Analysis in Homogeneous Markov Reward Models. Methodology and Computing in Applied Probability, 2009, 11 (4), pp.583-601. ⟨10.1007/s11009-008-9075-5⟩. ⟨hal-00455136⟩